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

V-Lab

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V-Lab

Dow Jones Industrial Average Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, July 29th, 2024:15.21% (+1.81%)

Analysis last updated: Friday, July 26, 2024 at 09:05 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2756	7.10
$α$	0.1026	9.49
$β$	0.8620	69.22
$γ_{1}$	0.0401	1.15
$γ_{2}$	0.0057	0.10
$γ_{3}$	-0.1358	-3.66
$γ_{4}$	0.1729	5.96
$γ_{5}$	-0.1475	-4.90
$γ_{6}$	0.1009	2.95
$γ_{7}$	-0.0358	-1.13
$γ_{8}$	-0.0073	-0.34

Estimation Period:
Jan 1, 1990 to Jul 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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