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

V-Lab

Dow Jones Industrial Average Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 12th, 2025:17.49% (-1.07%)

Analysis last updated: Friday, May 9, 2025 at 09:14 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.4768	7.22
$α$	0.1049	9.51
$β$	0.8619	69.34
$γ_{1}$	0.0806	5.71
$γ_{2}$	-0.1255	-5.55
$γ_{3}$	0.0713	4.40
$γ_{4}$	-0.0490	-3.11
$γ_{5}$	0.0509	2.49
$γ_{6}$	-0.0567	-1.69

Estimation Period:
Jan 1, 1990 to May 9, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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