V-Lab: Sanofi Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Sanofi Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 2nd, 2024:27.19% (-1.15%)

Analysis last updated: Friday, May 3, 2024 at 01:03 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0900	7.70
$α$	0.0879	7.45
$β$	0.8443	39.93
$γ_{1}$	-0.0065	-0.16
$γ_{2}$	0.0666	1.13
$γ_{3}$	-0.1125	-2.55
$γ_{4}$	0.0058	0.12
$γ_{5}$	0.1415	2.99
$γ_{6}$	-0.1681	-3.34
$γ_{7}$	0.1273	2.47
$γ_{8}$	-0.1143	-2.06
$γ_{9}$	0.1405	2.07
$γ_{10}$	-0.1223	-1.98

Estimation Period:
Jan 1, 1990 to Apr 30, 2024

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