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

V-Lab

NASDAQ Composite Index Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, August 15th, 2022:26.43% (+0.84%)

Analysis last updated: Saturday, August 13, 2022, 12:35 AM UTC

Date Range:

from

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

Parameter Estimates

	param	t-stat
$ω$	0.6425	6.29
$α$	0.1043	9.85
$β$	0.8520	62.30
$γ_{1}$	-0.0790	-1.13
$γ_{2}$	0.1642	1.56
$γ_{3}$	-0.0427	-0.63
$γ_{4}$	-0.2547	-4.57
$γ_{5}$	0.3848	7.16
$γ_{6}$	-0.2335	-3.74
$γ_{7}$	0.0514	0.82
$γ_{8}$	0.0331	0.58
$γ_{9}$	-0.0024	-0.04
$γ_{10}$	-0.0078	-0.07

Estimation Period:
Jan 1, 1990 to Aug 12, 2022

News Impact Curve

Volatility Forecasts

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MF2-GARCH

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