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

V-Lab

NASDAQ 100 Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 9th, 2025:27.50% (-1.10%)

Analysis last updated: Thursday, May 8, 2025 at 09:15 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9195	8.26
$α$	0.0909	10.10
$β$	0.8766	78.00
$γ_{1}$	-0.0009	-0.03
$γ_{2}$	0.0619	1.37
$γ_{3}$	-0.1833	-5.52
$γ_{4}$	0.2153	7.95
$γ_{5}$	-0.1470	-5.66
$γ_{6}$	0.0953	3.25
$γ_{7}$	-0.0440	-1.49
$γ_{8}$	-0.0068	-0.31

Estimation Period:
Jan 1, 1990 to May 2, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts