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 Thursday, October 5th, 2023:11.61% (+0.17%)

Analysis last updated: Wednesday, October 4, 2023 at 04:33 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9631	7.18
$α$	0.1008	10.17
$β$	0.8625	70.54
$γ_{1}$	-0.0207	-0.65
$γ_{2}$	0.0898	1.93
$γ_{3}$	-0.1766	-5.96
$γ_{4}$	0.2202	7.63
$γ_{5}$	-0.1967	-5.99
$γ_{6}$	0.1065	3.06
$γ_{7}$	0.0147	0.35
$γ_{8}$	-0.1137	-1.65

Estimation Period:
Jan 1, 1990 to Sep 29, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts