V-Lab: MSCI World Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

MSCI World Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, October 2nd, 2023:11.35% (-0.57%)

Analysis last updated: Monday, October 2, 2023 at 03:23 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2229	6.88
$α$	0.1128	9.82
$β$	0.8495	61.73
$γ_{1}$	-0.0027	-0.09
$γ_{2}$	0.0847	1.84
$γ_{3}$	-0.1887	-5.84
$γ_{4}$	0.2029	7.19
$γ_{5}$	-0.1608	-5.24
$γ_{6}$	0.0619	1.93
$γ_{7}$	0.0575	1.63
$γ_{8}$	-0.1010	-1.97

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts