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

V-Lab

Dow Jones Industrial Average Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, December 6th, 2021:18.77% (-1.08%)

Analysis last updated: Saturday, December 4, 2021, 02:59 AM UTC

Date Range:

from

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

Parameter Estimates

	param	t-stat
$ω$	1.4372	6.95
$α$	0.1028	9.07
$β$	0.8648	66.91
$γ_{1}$	0.0664	5.78
$γ_{2}$	-0.1058	-5.67
$γ_{3}$	0.0604	4.11
$γ_{4}$	-0.0354	-2.62
$γ_{5}$	0.0449	2.08

Estimation Period:
Jan 1, 1990 to Dec 3, 2021

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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