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

V-Lab

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V-Lab

NASDAQ 100 Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, December 23rd, 2024:22.47% (-0.71%)

Analysis last updated: Friday, December 20, 2024 at 10:42 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8925	8.06
$α$	0.0883	10.23
$β$	0.8789	79.58
$γ_{1}$	-0.0051	-0.18
$γ_{2}$	0.0713	1.52
$γ_{3}$	-0.1938	-5.79
$γ_{4}$	0.2225	8.33
$γ_{5}$	-0.1493	-5.69
$γ_{6}$	0.0932	3.14
$γ_{7}$	-0.0389	-1.30
$γ_{8}$	-0.0102	-0.46

Estimation Period:
Jan 1, 1990 to Dec 20, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts