V-Lab: Dow Jones Industrial Average Zero Slope Spline-GARCH Volatility Analysis

V-Lab

Dow Jones Industrial Average Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 9th, 2025:18.63% (-0.92%)

Analysis last updated: Thursday, May 8, 2025 at 09:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2685	7.06
$α$	0.1051	9.42
$β$	0.8583	66.91
$γ_{1}$	0.0407	1.26
$γ_{2}$	-0.0002	-0.00
$γ_{3}$	-0.1238	-3.46
$γ_{4}$	0.1613	5.64
$γ_{5}$	-0.1426	-5.21
$γ_{6}$	0.1075	3.38
$γ_{7}$	-0.0482	-1.56
$γ_{8}$	-0.0007	-0.03

Estimation Period:
Jan 1, 1990 to May 2, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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