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

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V-Lab

NASDAQ Composite Index Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, December 9th, 2022:30.37% (-0.84%)

Analysis last updated: Friday, December 9, 2022, 12:03 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6408	6.44
$α$	0.1028	9.74
$β$	0.8523	61.78
$γ_{1}$	-0.0750	-1.12
$γ_{2}$	0.1613	1.60
$γ_{3}$	-0.0506	-0.78
$γ_{4}$	-0.2449	-4.60
$γ_{5}$	0.3927	7.72
$γ_{6}$	-0.2631	-4.48
$γ_{7}$	0.0835	1.38
$γ_{8}$	0.0185	0.33
$γ_{9}$	-0.0134	-0.21
$γ_{10}$	0.0795	0.70

Estimation Period:
Jan 1, 1990 to Dec 2, 2022

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