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

Skip to main content

V-Lab

S&P/ASX 200 Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, October 20th, 2025:10.60% (+0.30%)

Analysis last updated: Friday, October 17, 2025 at 06:01 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8960	8.01
$α$	0.0964	8.49
$β$	0.8642	64.16
$γ_{1}$	0.0181	0.79
$γ_{2}$	-0.0627	-1.82
$γ_{3}$	0.1200	5.34
$γ_{4}$	-0.1492	-6.76
$γ_{5}$	0.1055	4.32
$γ_{6}$	-0.0234	-0.99
$γ_{7}$	-0.0475	-1.40

Estimation Period:
May 29, 1992 to Oct 17, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts