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

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V-Lab

MSCI USA Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, October 25th, 2024:11.28% (-0.30%)

Analysis last updated: Friday, October 25, 2024 at 03:50 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1426	7.03
$α$	0.0942	9.64
$β$	0.8732	74.39
$γ_{1}$	0.0442	1.40
$γ_{2}$	0.0031	0.06
$γ_{3}$	-0.1457	-4.28
$γ_{4}$	0.1895	6.77
$γ_{5}$	-0.1582	-5.48
$γ_{6}$	0.0948	2.85
$γ_{7}$	-0.0152	-0.48
$γ_{8}$	-0.0242	-1.05

Estimation Period:
Jan 1, 1990 to Jul 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts