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

V-Lab

MSCI Europe Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 2nd, 2025:18.07% (-1.26%)

Analysis last updated: Friday, May 2, 2025 at 11:54 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1144	7.65
$α$	0.1222	10.88
$β$	0.8581	78.47
$γ_{1}$	0.0004	1.25

Estimation Period:
Dec 30, 1998 to Apr 4, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts