V-Lab: Merrill Lynch Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Merrill Lynch Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, January 1st, 2009:74.34% (-2.25%)

Analysis last updated: Monday, March 1, 2021 at 03:45 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7216	6.60
$α$	0.0750	6.03
$β$	0.8423	31.67
$γ_{1}$	-0.3721	-2.33
$γ_{2}$	0.5665	2.37
$γ_{3}$	-0.2712	-1.65
$γ_{4}$	0.2551	1.63
$γ_{5}$	-0.3459	-2.17
$γ_{6}$	0.1747	1.13
$γ_{7}$	-0.1637	-1.13
$γ_{8}$	0.1854	1.30
$γ_{9}$	0.4851	3.46
$γ_{10}$	-0.8891	-7.99

Estimation Period:
Jan 2, 1990 to Dec 31, 2008

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts