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

V-Lab

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V-Lab

Solvay SA Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 2nd, 2024:37.06% (-1.34%)

Analysis last updated: Friday, May 3, 2024 at 04:50 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0582	5.25
$α$	0.0755	8.02
$β$	0.8867	62.32
$γ_{1}$	0.0526	2.68
$γ_{2}$	-0.0893	-3.00
$γ_{3}$	0.0726	3.48
$γ_{4}$	-0.0750	-3.87
$γ_{5}$	0.0797	3.19
$γ_{6}$	-0.0613	-2.46

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts