V-Lab: MSCI Europe Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

MSCI Europe Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, March 21st, 2023:21.90% (-0.82%)

Analysis last updated: Tuesday, March 21, 2023, 02:04 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9830	3.09
$α$	0.1181	10.16
$β$	0.8529	68.24
$γ_{1}$	-0.0948	-1.73
$γ_{2}$	0.1876	2.59
$γ_{3}$	-0.1575	-3.78
$γ_{4}$	0.0699	1.68
$γ_{5}$	0.0342	0.92
$γ_{6}$	-0.0625	-2.23

Estimation Period:
Dec 30, 1998 to Mar 17, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts