V-Lab: MSCI World Spline-GARCH Volatility Analysis

V-Lab

MSCI World Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, November 23rd, 2021:8.10% (+0.40%)

Analysis last updated: Tuesday, November 23, 2021, 07:10 AM UTC

Date Range:

from

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

Parameter Estimates

	param	t-stat
$ω$	1.1295	7.04
$α$	0.1140	9.49
$β$	0.8419	54.60
$γ_{1}$	-0.0553	-1.24
$γ_{2}$	0.1696	2.39
$γ_{3}$	-0.1689	-3.23
$γ_{4}$	-0.0020	-0.04
$γ_{5}$	0.1808	4.07
$γ_{6}$	-0.2389	-5.65
$γ_{7}$	0.1342	2.78
$γ_{8}$	0.0253	0.43
$γ_{9}$	-0.0723	-0.86

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

News Impact Curve

Volatility Forecasts

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