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

V-Lab

| |

V-Lab

NASDAQ 100 Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, April 19th, 2024:18.35% (-0.53%)

Analysis last updated: Thursday, April 18, 2024 at 09:06 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8953	8.07
$α$	0.0882	10.15
$β$	0.8798	79.93
$γ_{1}$	-0.0107	-0.35
$γ_{2}$	0.0840	1.70
$γ_{3}$	-0.2052	-5.88
$γ_{4}$	0.2256	8.16
$γ_{5}$	-0.1435	-4.96
$γ_{6}$	0.0813	2.53
$γ_{7}$	-0.0241	-0.75
$γ_{8}$	-0.0203	-0.84

Estimation Period:
Jan 1, 1990 to Apr 12, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts