V-Lab: NASDAQ 100 Zero Slope Spline-GARCH Volatility Analysis

V-Lab

NASDAQ 100 Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, June 2nd, 2025:20.63% (-0.94%)

Analysis last updated: Friday, May 30, 2025 at 09:13 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9051	8.24
$α$	0.0909	10.08
$β$	0.8753	77.49
$γ_{1}$	-0.0004	-0.01
$γ_{2}$	0.0599	1.34
$γ_{3}$	-0.1811	-5.55
$γ_{4}$	0.2146	8.04
$γ_{5}$	-0.1478	-5.80
$γ_{6}$	0.0965	3.35
$γ_{7}$	-0.0454	-1.56
$γ_{8}$	-0.0056	-0.26

Estimation Period:
Jan 1, 1990 to May 30, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts