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 Wednesday, September 18th, 2024:8.78% (-0.20%)

Analysis last updated: Tuesday, September 17, 2024 at 04:02 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0103	7.67
$α$	0.0991	10.16
$β$	0.8631	71.15
$γ_{1}$	-0.0038	-0.13
$γ_{2}$	0.0591	1.37
$γ_{3}$	-0.1491	-5.54
$γ_{4}$	0.1973	8.08
$γ_{5}$	-0.1901	-7.11
$γ_{6}$	0.1242	4.18
$γ_{7}$	-0.0157	-0.47
$γ_{8}$	-0.1124	-1.91

Estimation Period:
Jan 1, 1990 to Sep 13, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts