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

V-Lab

MSCI World Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 2nd, 2025:17.46% (-1.22%)

Analysis last updated: Friday, May 2, 2025 at 11:53 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2709	6.93
$α$	0.1152	9.91
$β$	0.8466	61.11
$γ_{1}$	0.0139	0.54
$γ_{2}$	0.0494	1.19
$γ_{3}$	-0.1544	-5.26
$γ_{4}$	0.1830	7.35
$γ_{5}$	-0.1740	-6.99
$γ_{6}$	0.1172	4.32
$γ_{7}$	-0.0198	-0.76
$γ_{8}$	-0.0297	-1.69

Estimation Period:
Jan 1, 1990 to Apr 4, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts