V-Lab: MSCI USA Spline-GARCH Volatility Analysis

V-Lab

MSCI USA Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, June 20th, 2025:13.02% (-0.49%)

Analysis last updated: Saturday, June 21, 2025 at 05:01 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1682	7.23
$α$	0.0965	9.55
$β$	0.8700	72.15
$γ_{1}$	0.0515	1.73
$γ_{2}$	-0.0132	-0.28
$γ_{3}$	-0.1284	-3.90
$γ_{4}$	0.1771	6.35
$γ_{5}$	-0.1564	-5.96
$γ_{6}$	0.1053	3.36
$γ_{7}$	-0.0260	-0.72
$γ_{8}$	-0.0297	-0.50

Estimation Period:
Jan 1, 1990 to Apr 17, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts