V-Lab: Invesco QQQ Trust Series 1 Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Invesco QQQ Trust Series 1 Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, November 11th, 2024:21.28% (-1.11%)

Analysis last updated: Friday, November 8, 2024 at 10:27 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0348	6.57
$α$	0.0954	9.22
$β$	0.8715	67.27
$γ_{1}$	-0.2977	-6.95
$γ_{2}$	0.4728	7.30
$γ_{3}$	-0.2479	-4.85
$γ_{4}$	0.0883	1.67
$γ_{5}$	0.0148	0.27
$γ_{6}$	-0.0429	-0.84
$γ_{7}$	0.0065	0.18

Estimation Period:
Mar 10, 1999 to Nov 8, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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