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 30th, 2025:9.25% (+0.03%)

Analysis last updated: Friday, June 27, 2025 at 07:02 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8957	7.93
$α$	0.0971	8.57
$β$	0.8641	64.10
$γ_{1}$	0.0180	0.77
$γ_{2}$	-0.0636	-1.80
$γ_{3}$	0.1231	5.29
$γ_{4}$	-0.1525	-6.57
$γ_{5}$	0.1080	4.35
$γ_{6}$	-0.0335	-1.57
$γ_{7}$	-0.0024	-0.17

Estimation Period:
May 29, 1992 to Jun 27, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts