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

V-Lab

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V-Lab

FTSE 100 Index Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 15th, 2024:9.72% (-0.42%)

Analysis last updated: Tuesday, May 14, 2024 at 04:02 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9539	7.21
$α$	0.0982	10.10
$β$	0.8647	71.68
$γ_{1}$	-0.0184	-0.61
$γ_{2}$	0.0820	1.85
$γ_{3}$	-0.1638	-5.89
$γ_{4}$	0.2082	8.08
$γ_{5}$	-0.1948	-6.79
$γ_{6}$	0.1200	3.84
$γ_{7}$	-0.0066	-0.18
$γ_{8}$	-0.1068	-1.65

Estimation Period:
Jan 1, 1990 to May 10, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts