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

V-Lab

|

V-Lab

NASDAQ Composite Index Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, December 9th, 2022:26.03% (-0.94%)

Analysis last updated: Friday, December 9, 2022, 12:03 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6623	6.47
$α$	0.1028	9.91
$β$	0.8545	63.50
$γ_{1}$	-0.0586	-0.85
$γ_{2}$	0.1361	1.30
$γ_{3}$	-0.0397	-0.60
$γ_{4}$	-0.2428	-4.44
$γ_{5}$	0.3816	7.31
$γ_{6}$	-0.2511	-4.15
$γ_{7}$	0.0788	1.26
$γ_{8}$	0.0083	0.15
$γ_{9}$	0.0295	0.54
$γ_{10}$	-0.0799	-1.88

Estimation Period:
Jan 1, 1990 to Dec 2, 2022

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts