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

V-Lab

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V-Lab

NASDAQ Composite Index Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, November 22nd, 2024:18.36% (-0.84%)

Analysis last updated: Thursday, November 21, 2024 at 10:15 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7227	7.32
$α$	0.0991	10.17
$β$	0.8618	68.96
$γ_{1}$	-0.0116	-0.37
$γ_{2}$	0.0975	2.00
$γ_{3}$	-0.2272	-7.03
$γ_{4}$	0.2421	9.38
$γ_{5}$	-0.1616	-6.40
$γ_{6}$	0.0966	3.40
$γ_{7}$	-0.0302	-1.09
$γ_{8}$	-0.0182	-0.90

Estimation Period:
Jan 1, 1990 to Nov 15, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts