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, January 24th, 2022:14.84% (+0.94%)

Analysis last updated: Saturday, January 22, 2022, 02:02 AM UTC

Date Range:

from

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

Parameter Estimates

	param	t-stat
$ω$	1.1639	6.63
$α$	0.1060	9.01
$β$	0.8524	60.70
$γ_{1}$	-0.0010	-0.02
$γ_{2}$	0.0872	0.92
$γ_{3}$	-0.1445	-2.39
$γ_{4}$	0.0110	0.20
$γ_{5}$	0.1527	2.87
$γ_{6}$	-0.2056	-4.53
$γ_{7}$	0.1429	3.01
$γ_{8}$	-0.0193	-0.39
$γ_{9}$	-0.0440	-1.11

Estimation Period:
Jan 1, 1990 to Jan 21, 2022

News Impact Curve

Volatility Forecasts

Other Dow Jones Industrial Average Analyses
GARCH
GJR-GARCH
EGARCH
APARCH
AGARCH
Spline-GARCH
MEM
Asy. MEM
Asy. Power MEM
GAS-GARCH Student T
MF2-GARCH

We are currently experiencing issues updating our data. Unfortunately, we do not have an estimate as to when these issues will be resolved. We apologize for any inconvenience and are working as hard as we can to resolve these issues as soon as possible.