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, July 1st, 2022:20.87% (-0.91%)

Analysis last updated: Friday, July 1, 2022, 12:45 AM UTC

Date Range:

from

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

Parameter Estimates

	param	t-stat
$ω$	1.3086	7.12
$α$	0.1051	9.17
$β$	0.8599	65.85
$γ_{1}$	0.0551	1.92
$γ_{2}$	-0.0356	-0.76
$γ_{3}$	-0.0813	-2.33
$γ_{4}$	0.1229	3.86
$γ_{5}$	-0.1155	-4.14
$γ_{6}$	0.1043	3.63
$γ_{7}$	-0.0709	-3.10

Estimation Period:
Jan 1, 1990 to Jun 24, 2022

News Impact Curve

Volatility Forecasts

Other Dow Jones Industrial Average Analyses
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MEM
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GAS-GARCH Student T
MF2-GARCH

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