V-Lab: Vivendi SE Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Vivendi SE Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 9th, 2024:17.34% (+0.21%)

Analysis last updated: Thursday, May 9, 2024 at 10:45 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8726	7.66
$α$	0.0732	6.81
$β$	0.8624	40.54
$γ_{1}$	0.0733	1.93
$γ_{2}$	-0.1184	-2.04
$γ_{3}$	0.1282	2.92
$γ_{4}$	-0.2604	-6.30
$γ_{5}$	0.3487	8.85
$γ_{6}$	-0.2490	-4.75
$γ_{7}$	0.0910	1.22
$γ_{8}$	-0.0237	-0.29
$γ_{9}$	0.0748	1.00
$γ_{10}$	-0.2514	-1.49

Estimation Period:
Jan 1, 1990 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts