V-Lab: S&P 500 Index Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

S&P 500 Index Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:12.95% (+0.46%)

Analysis last updated: Friday, April 26, 2024 at 09:04 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1712	7.34
$α$	0.0999	9.59
$β$	0.8634	68.11
$γ_{1}$	0.0492	1.50
$γ_{2}$	0.0038	0.07
$γ_{3}$	-0.1615	-4.71
$γ_{4}$	0.2091	7.45
$γ_{5}$	-0.1735	-5.70
$γ_{6}$	0.0964	2.69
$γ_{7}$	0.0105	0.27
$γ_{8}$	-0.0985	-1.79

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts