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, January 22nd, 2025:20.55% (-0.74%)

Analysis last updated: Tuesday, January 21, 2025 at 10:06 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9010	8.22
$α$	0.0881	10.21
$β$	0.8788	79.33
$γ_{1}$	-0.0032	-0.11
$γ_{2}$	0.0672	1.46
$γ_{3}$	-0.1894	-5.73
$γ_{4}$	0.2196	8.26
$γ_{5}$	-0.1484	-5.70
$γ_{6}$	0.0941	3.20
$γ_{7}$	-0.0416	-1.40
$γ_{8}$	-0.0074	-0.34

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts