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, December 2nd, 2022:23.13% (-1.41%)

Analysis last updated: Friday, December 2, 2022, 05:29 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1356	6.92
$α$	0.0960	9.63
$β$	0.8721	72.82
$γ_{1}$	0.0358	1.00
$γ_{2}$	0.0266	0.47
$γ_{3}$	-0.1721	-4.54
$γ_{4}$	0.1965	5.69
$γ_{5}$	-0.1302	-3.07
$γ_{6}$	0.0364	0.83
$γ_{7}$	0.0507	1.25
$γ_{8}$	-0.0680	-2.19

Estimation Period:
Jan 1, 1990 to Nov 25, 2022

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