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 Wednesday, October 4th, 2023:18.62% (+1.97%)

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
$ω$	0.6857	6.83
$α$	0.1000	10.11
$β$	0.8621	69.03
$γ_{1}$	-0.0388	-1.11
$γ_{2}$	0.1491	2.77
$γ_{3}$	-0.2676	-7.60
$γ_{4}$	0.2593	9.20
$γ_{5}$	-0.1540	-4.96
$γ_{6}$	0.0704	2.04
$γ_{7}$	0.0083	0.22
$γ_{8}$	-0.0573	-1.06

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts