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

V-Lab

| |

V-Lab

FTSE 100 Index Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, July 29th, 2024:9.82% (+1.73%)

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

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0049	7.62
$α$	0.0978	10.08
$β$	0.8650	71.76
$γ_{1}$	-0.0052	-0.18
$γ_{2}$	0.0621	1.42
$γ_{3}$	-0.1524	-5.58
$γ_{4}$	0.2004	8.05
$γ_{5}$	-0.1913	-6.97
$γ_{6}$	0.1221	4.03
$γ_{7}$	-0.0110	-0.32
$γ_{8}$	-0.1158	-1.93

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts