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

V-Lab

Dow Jones Industrial Average Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, August 15th, 2022:16.80% (+0.65%)

Analysis last updated: Saturday, August 13, 2022, 12:33 AM UTC

Date Range:

from

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

Parameter Estimates

	param	t-stat
$ω$	1.4036	6.86
$α$	0.1045	9.29
$β$	0.8630	68.13
$γ_{1}$	0.0629	5.73
$γ_{2}$	-0.1008	-5.63
$γ_{3}$	0.0584	4.01
$γ_{4}$	-0.0338	-2.55
$γ_{5}$	0.0483	2.31

Estimation Period:
Jan 1, 1990 to Aug 12, 2022

News Impact Curve

Volatility Forecasts

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

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