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

V-Lab

MSCI USA Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, April 11th, 2025:55.88% (-0.88%)

Analysis last updated: Saturday, April 12, 2025 at 02:21 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1465	7.06
$α$	0.0953	9.61
$β$	0.8714	73.33
$γ_{1}$	0.0474	1.59
$γ_{2}$	-0.0079	-0.17
$γ_{3}$	-0.1291	-3.90
$γ_{4}$	0.1747	6.26
$γ_{5}$	-0.1525	-5.80
$γ_{6}$	0.1019	3.29
$γ_{7}$	-0.0260	-0.84
$γ_{8}$	-0.0210	-0.93

Estimation Period:
Jan 1, 1990 to Apr 4, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts