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

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V-Lab

Dow Jones Industrial Average Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, April 19th, 2024:11.62% (-0.49%)

Analysis last updated: Thursday, April 18, 2024 at 09:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2698	7.07
$α$	0.1026	9.44
$β$	0.8623	69.08
$γ_{1}$	0.0381	1.06
$γ_{2}$	0.0110	0.19
$γ_{3}$	-0.1421	-3.76
$γ_{4}$	0.1774	6.00
$γ_{5}$	-0.1475	-4.63
$γ_{6}$	0.0951	2.67
$γ_{7}$	-0.0259	-0.80
$γ_{8}$	-0.0154	-0.68

Estimation Period:
Jan 1, 1990 to Apr 12, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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