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 Tuesday, March 21st, 2023:16.03% (-0.42%)

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
$ω$	1.1015	6.72
$α$	0.1149	9.80
$β$	0.8447	59.17
$γ_{1}$	-0.0516	-1.28
$γ_{2}$	0.1666	2.59
$γ_{3}$	-0.1953	-4.14
$γ_{4}$	0.0698	1.54
$γ_{5}$	0.0943	2.03
$γ_{6}$	-0.1878	-4.62
$γ_{7}$	0.1410	3.62
$γ_{8}$	-0.0020	-0.05
$γ_{9}$	-0.0216	-0.32

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts