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

V-Lab

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

Volatility Prediction for Wednesday, July 2nd, 2025:12.49% (-0.48%)

Analysis last updated: Tuesday, July 1, 2025 at 09:13 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3723	7.76
$α$	0.1032	10.15
$β$	0.8650	73.19
$γ_{1}$	0.0927	6.43
$γ_{2}$	-0.1462	-6.31
$γ_{3}$	0.0853	5.15
$γ_{4}$	-0.0589	-3.80
$γ_{5}$	0.0536	3.02
$γ_{6}$	-0.0378	-2.83

Estimation Period:
Jan 1, 1990 to Jun 27, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts