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 Wednesday, January 22nd, 2025:20.94% (-0.84%)

Analysis last updated: Tuesday, January 21, 2025 at 10:04 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7260	7.38
$α$	0.0987	10.16
$β$	0.8621	69.05
$γ_{1}$	-0.0088	-0.28
$γ_{2}$	0.0918	1.90
$γ_{3}$	-0.2221	-6.94
$γ_{4}$	0.2395	9.31
$γ_{5}$	-0.1618	-6.51
$γ_{6}$	0.0988	3.52
$γ_{7}$	-0.0334	-1.21
$γ_{8}$	-0.0162	-0.81

Estimation Period:
Jan 1, 1990 to Jan 17, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts