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 Tuesday, March 21st, 2023:18.83% (-0.47%)

Analysis last updated: Tuesday, March 21, 2023, 02:03 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1318	6.98
$α$	0.0951	9.56
$β$	0.8725	72.79
$γ_{1}$	0.0381	1.09
$γ_{2}$	0.0211	0.39
$γ_{3}$	-0.1674	-4.56
$γ_{4}$	0.1978	6.11
$γ_{5}$	-0.1398	-3.60
$γ_{6}$	0.0499	1.21
$γ_{7}$	0.0419	1.09
$γ_{8}$	-0.0669	-2.27

Estimation Period:
Jan 1, 1990 to Mar 17, 2023

News Impact Curve

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Volatility Forecasts

Volatility Forecasts