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

V-Lab

NASDAQ 100 Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 21st, 2025:50.38% (-3.22%)

Analysis last updated: Thursday, April 17, 2025 at 09:22 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9141	8.13
$α$	0.0906	10.10
$β$	0.8774	78.40
$γ_{1}$	-0.0014	-0.05
$γ_{2}$	0.0625	1.36
$γ_{3}$	-0.1833	-5.46
$γ_{4}$	0.2152	7.88
$γ_{5}$	-0.1470	-5.62
$γ_{6}$	0.0950	3.21
$γ_{7}$	-0.0432	-1.45
$γ_{8}$	-0.0077	-0.35

Estimation Period:
Jan 1, 1990 to Apr 17, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts