V-Lab: MSCI USA Spline-GARCH Volatility Analysis

V-Lab

MSCI USA Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, November 23rd, 2021:9.48% (+0.07%)

Analysis last updated: Tuesday, November 23, 2021, 05:25 AM UTC

Date Range:

from

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

Parameter Estimates

	param	t-stat
$ω$	1.0553	6.94
$α$	0.0955	8.95
$β$	0.8643	63.73
$γ_{1}$	-0.0021	-0.04
$γ_{2}$	0.0978	1.31
$γ_{3}$	-0.1663	-3.21
$γ_{4}$	0.0244	0.48
$γ_{5}$	0.1600	3.21
$γ_{6}$	-0.2203	-5.14
$γ_{7}$	0.1421	2.86
$γ_{8}$	-0.0056	-0.08
$γ_{9}$	-0.0640	-0.63

Estimation Period:
Jan 1, 1990 to Nov 19, 2021

News Impact Curve

Volatility Forecasts

Other MSCI USA Analyses
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GJR-GARCH
EGARCH
AGARCH
Zero Slope Spline-GARCH
GAS-GARCH Student T
MF2-GARCH

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