V-Lab: MSCI USA Spline-GARCH Volatility Analysis

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V-Lab

MSCI USA Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, October 2nd, 2023:13.36% (-0.53%)

Analysis last updated: Monday, October 2, 2023 at 03:23 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1353	7.08
$α$	0.0943	9.50
$β$	0.8726	72.84
$γ_{1}$	0.0394	1.19
$γ_{2}$	0.0172	0.33
$γ_{3}$	-0.1646	-4.69
$γ_{4}$	0.2034	6.88
$γ_{5}$	-0.1575	-4.68
$γ_{6}$	0.0748	1.98
$γ_{7}$	0.0222	0.55
$γ_{8}$	-0.0739	-1.30

Estimation Period:
Jan 1, 1990 to Sep 29, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts