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 Friday, November 22nd, 2024:18.37% (-0.66%)

Analysis last updated: Thursday, November 21, 2024 at 10:20 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9058	8.24
$α$	0.0885	10.23
$β$	0.8786	79.40
$γ_{1}$	-0.0032	-0.11
$γ_{2}$	0.0683	1.47
$γ_{3}$	-0.1918	-5.74
$γ_{4}$	0.2207	8.25
$γ_{5}$	-0.1475	-5.54
$γ_{6}$	0.0915	3.05
$γ_{7}$	-0.0385	-1.28
$γ_{8}$	-0.0094	-0.42

Estimation Period:
Jan 1, 1990 to Nov 15, 2024

News Impact Curve

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Volatility Forecasts

Volatility Forecasts