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

V-Lab

NASDAQ 100 Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 24th, 2022:37.41% (-1.43%)

Analysis last updated: Tuesday, May 24, 2022, 12:15 AM UTC

Date Range:

from

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

Parameter Estimates

	param	t-stat
$ω$	0.9313	8.23
$α$	0.0929	10.09
$β$	0.8748	76.05
$γ_{1}$	0.0173	0.69
$γ_{2}$	0.0186	0.46
$γ_{3}$	-0.1358	-4.32
$γ_{4}$	0.1836	6.36
$γ_{5}$	-0.1337	-5.16
$γ_{6}$	0.0967	3.60
$γ_{7}$	-0.0670	-3.30

Estimation Period:
Jan 1, 1990 to May 20, 2022

News Impact Curve

Volatility Forecasts

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