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 Monday, November 24th, 2025:15.91% (+0.03%)

Analysis last updated: Friday, November 21, 2025 at 10:22 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3666	7.73
$α$	0.1026	10.18
$β$	0.8655	73.60
$γ_{1}$	0.0900	6.45
$γ_{2}$	-0.1422	-6.32
$γ_{3}$	0.0823	5.04
$γ_{4}$	-0.0546	-3.65
$γ_{5}$	0.0488	2.83
$γ_{6}$	-0.0346	-2.63

Estimation Period:
Jan 1, 1990 to Nov 21, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts