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 Wednesday, September 18th, 2024:21.10% (-0.99%)

Analysis last updated: Tuesday, September 17, 2024 at 09:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9027	8.15
$α$	0.0881	10.20
$β$	0.8796	80.01
$γ_{1}$	-0.0059	-0.20
$γ_{2}$	0.0746	1.56
$γ_{3}$	-0.1981	-5.80
$γ_{4}$	0.2236	8.25
$γ_{5}$	-0.1468	-5.38
$γ_{6}$	0.0887	2.89
$γ_{7}$	-0.0335	-1.09
$γ_{8}$	-0.0139	-0.61

Estimation Period:
Jan 1, 1990 to Sep 13, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts