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

V-Lab

NASDAQ Composite Index Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, January 18th, 2022:22.04% (-1.15%)

Analysis last updated: Saturday, January 15, 2022, 01:52 AM UTC

Date Range:

from

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

Parameter Estimates

	param	t-stat
$ω$	0.7382	7.51
$α$	0.1032	9.77
$β$	0.8562	64.25
$γ_{1}$	0.0056	0.20
$γ_{2}$	0.0553	1.30
$γ_{3}$	-0.1806	-6.01
$γ_{4}$	0.2130	7.81
$γ_{5}$	-0.1553	-6.27
$γ_{6}$	0.1117	3.88
$γ_{7}$	-0.0687	-1.66

Estimation Period:
Jan 1, 1990 to Jan 14, 2022

News Impact Curve

Volatility Forecasts

Other NASDAQ Composite Index Analyses
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EGARCH
APARCH
AGARCH
Zero Slope Spline-GARCH
MEM
Asy. MEM
Asy. Power MEM
GAS-GARCH Student T
MF2-GARCH

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