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, December 2nd, 2022:25.72% (-1.27%)

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
$ω$	1.2607	7.41
$α$	0.0945	9.45
$β$	0.8757	75.19
$γ_{1}$	0.0660	6.11
$γ_{2}$	-0.1086	-6.02
$γ_{3}$	0.0675	4.51
$γ_{4}$	-0.0448	-3.32
$γ_{5}$	0.0704	3.17

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

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