V-Lab: MSCI World Spline-GARCH Volatility Analysis

V-Lab

MSCI World Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, April 11th, 2025:39.52% (-3.15%)

Analysis last updated: Saturday, April 12, 2025 at 02:21 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2547	6.94
$α$	0.1154	9.81
$β$	0.8452	59.75
$γ_{1}$	0.0110	0.43
$γ_{2}$	0.0551	1.35
$γ_{3}$	-0.1604	-5.54
$γ_{4}$	0.1885	7.68
$γ_{5}$	-0.1769	-7.17
$γ_{6}$	0.1144	4.19
$γ_{7}$	-0.0030	-0.10
$γ_{8}$	-0.0842	-1.58

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts