V-Lab: MSCI World Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

MSCI World Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, October 2nd, 2023:11.79% (-0.56%)

Analysis last updated: Monday, October 2, 2023 at 03:24 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2344	6.92
$α$	0.1133	9.86
$β$	0.8490	61.60
$γ_{1}$	-0.0001	-0.00
$γ_{2}$	0.0797	1.73
$γ_{3}$	-0.1834	-5.68
$γ_{4}$	0.1974	7.00
$γ_{5}$	-0.1568	-5.14
$γ_{6}$	0.0621	1.99
$γ_{7}$	0.0490	1.67
$γ_{8}$	-0.0746	-3.38

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts