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

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V-Lab

S&P 500 Index Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, October 24th, 2025:14.08% (-0.33%)

Analysis last updated: Thursday, October 23, 2025 at 09:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3689	7.74
$α$	0.1029	10.19
$β$	0.8652	73.36
$γ_{1}$	0.0906	6.46
$γ_{2}$	-0.1431	-6.32
$γ_{3}$	0.0829	5.07
$γ_{4}$	-0.0555	-3.67
$γ_{5}$	0.0496	2.86
$γ_{6}$	-0.0350	-2.64

Estimation Period:
Jan 1, 1990 to Oct 17, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts