V-Lab: MSCI USA Spline-GARCH Volatility Analysis

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V-Lab

MSCI USA Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, March 21st, 2023:21.40% (-0.42%)

Analysis last updated: Tuesday, March 21, 2023, 02:03 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2544	7.29
$α$	0.0941	9.52
$β$	0.8770	76.74
$γ_{1}$	0.0637	5.94
$γ_{2}$	-0.1052	-5.85
$γ_{3}$	0.0653	4.30
$γ_{4}$	-0.0418	-3.10
$γ_{5}$	0.0650	3.15

Estimation Period:
Jan 1, 1990 to Mar 17, 2023

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Volatility Forecasts

Volatility Forecasts