V-Lab: CAC 40 Index Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

CAC 40 Index Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, April 30th, 2024:10.74% (-0.46%)

Analysis last updated: Monday, April 29, 2024 at 03:02 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9762	6.74
$α$	0.0969	9.28
$β$	0.8690	64.91
$γ_{1}$	-0.0294	-1.00
$γ_{2}$	0.0786	1.64
$γ_{3}$	-0.1274	-3.80
$γ_{4}$	0.1621	6.03
$γ_{5}$	-0.1346	-4.64
$γ_{6}$	0.0390	1.18
$γ_{7}$	0.0745	1.97
$γ_{8}$	-0.1740	-2.85

Estimation Period:
Jan 2, 1990 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts