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

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V-Lab

NASDAQ Composite Index Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, March 22nd, 2023:23.09% (+0.35%)

Analysis last updated: Tuesday, March 21, 2023, 10:14 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6663	6.68
$α$	0.1018	9.81
$β$	0.8541	62.88
$γ_{1}$	-0.0545	-0.82
$γ_{2}$	0.1333	1.33
$γ_{3}$	-0.0479	-0.75
$γ_{4}$	-0.2311	-4.41
$γ_{5}$	0.3828	7.73
$γ_{6}$	-0.2708	-4.76
$γ_{7}$	0.1045	1.73
$γ_{8}$	-0.0087	-0.15
$γ_{9}$	0.0373	0.70
$γ_{10}$	-0.0849	-2.09

Estimation Period:
Jan 1, 1990 to Mar 17, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts