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

V-Lab

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V-Lab

NASDAQ Composite Index Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, June 5th, 2023:20.80% (-0.12%)

Analysis last updated: Friday, June 2, 2023 at 10:21 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6809	6.76
$α$	0.1011	10.16
$β$	0.8610	68.66
$γ_{1}$	-0.0437	-1.22
$γ_{2}$	0.1583	2.87
$γ_{3}$	-0.2732	-7.55
$γ_{4}$	0.2579	8.75
$γ_{5}$	-0.1468	-4.41
$γ_{6}$	0.0626	1.72
$γ_{7}$	0.0082	0.20
$γ_{8}$	-0.0220	-0.38

Estimation Period:
Jan 1, 1990 to Jun 2, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts