V-Lab: Safran SA Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Safran SA Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 6th, 2024:20.45% (+1.09%)

Analysis last updated: Saturday, May 4, 2024 at 10:04 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1344	3.40
$α$	0.0809	8.64
$β$	0.8866	71.35
$γ_{1}$	-0.0182	-0.40
$γ_{2}$	0.1368	2.23
$γ_{3}$	-0.2675	-7.10
$γ_{4}$	0.2713	7.28
$γ_{5}$	-0.2308	-6.66
$γ_{6}$	0.1757	5.43
$γ_{7}$	-0.0831	-2.89
$γ_{8}$	0.0176	0.81

Estimation Period:
Jan 1, 1990 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts