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

V-Lab

FTSE 100 Index Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, January 18th, 2022:12.94% (+0.29%)

Analysis last updated: Monday, January 17, 2022, 05:32 PM UTC

Date Range:

from

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

Parameter Estimates

	param	t-stat
$ω$	1.0438	7.74
$α$	0.0935	10.78
$β$	0.8915	102.46
$γ_{1}$	0.0010	0.99

Estimation Period:
Jan 1, 1990 to Jan 14, 2022

News Impact Curve

Volatility Forecasts

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