V-Lab: NASDAQ 100 Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

NASDAQ 100 Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:19.88% (+0.83%)

Analysis last updated: Friday, April 26, 2024 at 09:14 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8965	8.10
$α$	0.0883	10.15
$β$	0.8796	79.82
$γ_{1}$	-0.0100	-0.33
$γ_{2}$	0.0828	1.68
$γ_{3}$	-0.2045	-5.87
$γ_{4}$	0.2253	8.17
$γ_{5}$	-0.1436	-4.99
$γ_{6}$	0.0816	2.55
$γ_{7}$	-0.0243	-0.76
$γ_{8}$	-0.0203	-0.85

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts