V-Lab: FTSE 100 Index Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

FTSE 100 Index Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:11.70% (+0.03%)

Analysis last updated: Friday, April 26, 2024 at 04:03 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9994	7.57
$α$	0.0982	10.09
$β$	0.8647	71.52
$γ_{1}$	-0.0079	-0.26
$γ_{2}$	0.0678	1.53
$γ_{3}$	-0.1590	-5.71
$γ_{4}$	0.2067	7.99
$γ_{5}$	-0.1941	-6.73
$γ_{6}$	0.1193	3.80
$γ_{7}$	-0.0060	-0.16
$γ_{8}$	-0.1052	-1.62

Estimation Period:
Jan 1, 1990 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts