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, May 9th, 2025:26.32% (-1.02%)

Analysis last updated: Thursday, May 8, 2025 at 09:12 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7318	7.38
$α$	0.1009	10.11
$β$	0.8602	68.46
$γ_{1}$	-0.0044	-0.14
$γ_{2}$	0.0822	1.73
$γ_{3}$	-0.2126	-6.66
$γ_{4}$	0.2334	8.94
$γ_{5}$	-0.1598	-6.49
$γ_{6}$	0.1001	3.60
$γ_{7}$	-0.0354	-1.29
$γ_{8}$	-0.0164	-0.82

Estimation Period:
Jan 1, 1990 to May 2, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts