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 Monday, October 2nd, 2023:13.89% (-0.51%)

Analysis last updated: Monday, October 2, 2023 at 03:24 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1459	7.13
$α$	0.0946	9.55
$β$	0.8724	72.85
$γ_{1}$	0.0436	1.31
$γ_{2}$	0.0095	0.18
$γ_{3}$	-0.1575	-4.49
$γ_{4}$	0.1968	6.65
$γ_{5}$	-0.1525	-4.53
$γ_{6}$	0.0737	1.99
$γ_{7}$	0.0156	0.45
$γ_{8}$	-0.0489	-1.88

Estimation Period:
Jan 1, 1990 to Sep 29, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts