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

V-Lab

|

V-Lab

MSCI World Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, March 21st, 2023:14.89% (-0.45%)

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
$ω$	1.1728	7.06
$α$	0.1145	9.80
$β$	0.8459	59.60
$γ_{1}$	-0.0319	-0.77
$γ_{2}$	0.1368	2.08
$γ_{3}$	-0.1788	-3.74
$γ_{4}$	0.0607	1.32
$γ_{5}$	0.0964	2.06
$γ_{6}$	-0.1837	-4.49
$γ_{7}$	0.1308	3.39
$γ_{8}$	0.0206	0.54
$γ_{9}$	-0.0868	-2.93

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts