V-Lab: MSCI USA Zero Slope Spline-GARCH Volatility Analysis

V-Lab

MSCI USA Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 2nd, 2025:26.67% (-1.53%)

Analysis last updated: Friday, May 2, 2025 at 11:53 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1468	7.04
$α$	0.0964	9.57
$β$	0.8704	72.66
$γ_{1}$	0.0476	1.60
$γ_{2}$	-0.0084	-0.18
$γ_{3}$	-0.1283	-3.87
$γ_{4}$	0.1738	6.20
$γ_{5}$	-0.1520	-5.77
$γ_{6}$	0.1020	3.29
$γ_{7}$	-0.0264	-0.85
$γ_{8}$	-0.0208	-0.92

Estimation Period:
Jan 1, 1990 to Apr 17, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts