V-Lab: MSCI USA Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

MSCI USA Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, October 4th, 2024:10.44% (-0.41%)

Analysis last updated: Friday, October 4, 2024 at 04:26 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1479	7.27
$α$	0.0934	9.48
$β$	0.8723	72.82
$γ_{1}$	0.0463	1.49
$γ_{2}$	0.0013	0.03
$γ_{3}$	-0.1475	-4.44
$γ_{4}$	0.1921	7.05
$γ_{5}$	-0.1581	-5.62
$γ_{6}$	0.0866	2.63
$γ_{7}$	0.0148	0.40
$γ_{8}$	-0.1135	-2.23

Estimation Period:
Jan 1, 1990 to Jul 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts