V-Lab: Saipem SpA Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Saipem SpA Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, November 12th, 2024:37.26% (-0.31%)

Analysis last updated: Tuesday, November 12, 2024 at 09:15 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9483	5.94
$α$	0.1277	7.36
$β$	0.8244	37.41
$γ_{1}$	0.0116	0.39
$γ_{2}$	0.0214	0.51
$γ_{3}$	-0.0978	-3.18
$γ_{4}$	0.1151	3.78
$γ_{5}$	-0.0401	-1.17
$γ_{6}$	-0.0528	-0.97
$γ_{7}$	0.0739	1.29
$γ_{8}$	-0.0443	-1.32

Estimation Period:
Jan 2, 1990 to Nov 8, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts