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 Monday, December 6th, 2021:18.20% (-1.17%)

Analysis last updated: Saturday, December 4, 2021, 03:00 AM UTC

Date Range:

from

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

Parameter Estimates

	param	t-stat
$ω$	1.1816	6.71
$α$	0.1044	8.92
$β$	0.8540	59.95
$γ_{1}$	-0.0014	-0.02
$γ_{2}$	0.0876	0.92
$γ_{3}$	-0.1414	-2.32
$γ_{4}$	0.0021	0.04
$γ_{5}$	0.1641	3.12
$γ_{6}$	-0.2144	-4.69
$γ_{7}$	0.1452	2.98
$γ_{8}$	-0.0162	-0.31
$γ_{9}$	-0.0471	-1.16

Estimation Period:
Jan 1, 1990 to Dec 3, 2021

News Impact Curve

Volatility Forecasts

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