V-Lab: NASDAQ Composite Index Zero Slope Spline-GARCH Volatility Analysis

V-Lab

NASDAQ Composite Index Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, July 1st, 2022:31.76% (-1.38%)

Analysis last updated: Friday, July 1, 2022, 12:47 AM UTC

Date Range:

from

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

Parameter Estimates

	param	t-stat
$ω$	0.7611	7.32
$α$	0.1039	10.15
$β$	0.8598	68.40
$γ_{1}$	0.0142	0.51
$γ_{2}$	0.0358	0.82
$γ_{3}$	-0.1584	-5.05
$γ_{4}$	0.1945	6.55
$γ_{5}$	-0.1426	-5.44
$γ_{6}$	0.1058	3.96
$γ_{7}$	-0.0701	-3.37

Estimation Period:
Jan 1, 1990 to Jun 24, 2022

News Impact Curve

Volatility Forecasts

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