V-Lab: S&P/ASX 200 Zero Slope Spline-GARCH Volatility Analysis

V-Lab

S&P/ASX 200 Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, June 2nd, 2025:9.72% (-0.16%)

Analysis last updated: Friday, May 30, 2025 at 07:02 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8883	7.94
$α$	0.0966	8.49
$β$	0.8640	63.56
$γ_{1}$	0.0185	0.79
$γ_{2}$	-0.0650	-1.84
$γ_{3}$	0.1245	5.37
$γ_{4}$	-0.1528	-6.58
$γ_{5}$	0.1067	4.32
$γ_{6}$	-0.0305	-1.44
$γ_{7}$	-0.0054	-0.39

Estimation Period:
May 29, 1992 to May 30, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts