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 Friday, December 2nd, 2022:20.15% (-0.76%)

Analysis last updated: Friday, December 2, 2022, 05:29 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0987	6.80
$α$	0.1160	9.73
$β$	0.8419	57.30
$γ_{1}$	-0.0522	-1.28
$γ_{2}$	0.1671	2.56
$γ_{3}$	-0.1892	-3.95
$γ_{4}$	0.0526	1.15
$γ_{5}$	0.1168	2.56
$γ_{6}$	-0.2049	-5.10
$γ_{7}$	0.1489	3.73
$γ_{8}$	-0.0164	-0.35
$γ_{9}$	0.0383	0.46

Estimation Period:
Jan 1, 1990 to Nov 25, 2022

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Volatility Forecasts

Volatility Forecasts