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 Thursday, March 6th, 2025:24.19% (-0.20%)

Analysis last updated: Wednesday, March 5, 2025 at 10:06 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7324	7.47
$α$	0.0981	10.14
$β$	0.8627	69.30
$γ_{1}$	-0.0072	-0.23
$γ_{2}$	0.0891	1.87
$γ_{3}$	-0.2205	-6.94
$γ_{4}$	0.2392	9.29
$γ_{5}$	-0.1630	-6.60
$γ_{6}$	0.1016	3.63
$γ_{7}$	-0.0365	-1.33
$γ_{8}$	-0.0148	-0.74

Estimation Period:
Jan 1, 1990 to Feb 28, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts