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

V-Lab

|

V-Lab

FTSE 100 Index Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, December 12th, 2022:10.11% (-0.28%)

Analysis last updated: Friday, December 9, 2022, 05:33 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0388	8.13
$α$	0.0969	11.27
$β$	0.8869	100.70
$γ_{1}$	0.0010	1.13

Estimation Period:
Jan 1, 1990 to Dec 9, 2022

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts