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

V-Lab

MSCI USA Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, November 23rd, 2021:9.85% (+0.07%)

Analysis last updated: Tuesday, November 23, 2021, 05:25 AM UTC

Date Range:

from

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

Parameter Estimates

	param	t-stat
$ω$	1.0636	6.99
$α$	0.0957	8.93
$β$	0.8642	63.35
$γ_{1}$	0.0029	0.06
$γ_{2}$	0.0884	1.18
$γ_{3}$	-0.1581	-3.04
$γ_{4}$	0.0188	0.37
$γ_{5}$	0.1614	3.24
$γ_{6}$	-0.2189	-5.18
$γ_{7}$	0.1421	3.08
$γ_{8}$	-0.0129	-0.26
$γ_{9}$	-0.0396	-0.99

Estimation Period:
Jan 1, 1990 to Nov 19, 2021

News Impact Curve

Volatility Forecasts

Other MSCI USA Analyses
GARCH
GJR-GARCH
EGARCH
AGARCH
Spline-GARCH
GAS-GARCH Student T
MF2-GARCH

We are currently experiencing issues updating our data. Unfortunately, we do not have an estimate as to when these issues will be resolved. We apologize for any inconvenience and are working as hard as we can to resolve these issues as soon as possible.