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, October 4th, 2023:18.83% (+1.94%)

Analysis last updated: Tuesday, October 3, 2023 at 10:12 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7007	6.96
$α$	0.0999	10.14
$β$	0.8624	69.22
$γ_{1}$	-0.0303	-0.86
$γ_{2}$	0.1343	2.48
$γ_{3}$	-0.2560	-7.25
$γ_{4}$	0.2500	8.85
$γ_{5}$	-0.1475	-4.76
$γ_{6}$	0.0675	2.01
$γ_{7}$	0.0056	0.17
$γ_{8}$	-0.0436	-1.79

Estimation Period:
Jan 1, 1990 to Sep 29, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts