V-Lab: Wilshire 5000 Total Market Index Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

Wilshire 5000 Total Market Index Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 14th, 2024:13.16% (-0.51%)

Analysis last updated: Tuesday, May 14, 2024 at 09:07 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0300	7.06
$α$	0.1057	9.58
$β$	0.8563	64.12
$γ_{1}$	0.0328	0.95
$γ_{2}$	0.0346	0.65
$γ_{3}$	-0.1852	-5.24
$γ_{4}$	0.2197	7.46
$γ_{5}$	-0.1714	-5.23
$γ_{6}$	0.0842	2.28
$γ_{7}$	0.0273	0.70
$γ_{8}$	-0.0915	-1.71

Estimation Period:
Jan 1, 1990 to Nov 24, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

Other Wilshire 5000 Total Market Index Analyses
GARCH
GJR-GARCH
EGARCH
APARCH
AGARCH
Zero Slope Spline-GARCH
MEM
Asy. MEM
Asy. Power MEM
GAS-GARCH Student T
MF2-GARCH