V-Lab: Abacus Group Zero Slope Spline-GARCH Volatility Analysis

V-Lab

Abacus Group Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, June 3rd, 2025:26.20% (-0.69%)

Analysis last updated: Tuesday, June 3, 2025 at 09:48 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7714	4.01
$α$	0.0722	6.71
$β$	0.9001	56.44
$γ_{1}$	0.2052	3.17
$γ_{2}$	-0.3571	-3.79
$γ_{3}$	0.2056	3.65
$γ_{4}$	-0.0670	-1.35
$γ_{5}$	0.0578	1.19
$γ_{6}$	-0.0781	-1.96

Estimation Period:
Nov 14, 2002 to May 30, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts