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, December 4th, 2024:16.38% (-0.50%)

Analysis last updated: Tuesday, December 3, 2024 at 10:54 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9094	8.26
$α$	0.0883	10.23
$β$	0.8790	79.65
$γ_{1}$	-0.0022	-0.08
$γ_{2}$	0.0670	1.44
$γ_{3}$	-0.1912	-5.71
$γ_{4}$	0.2207	8.24
$γ_{5}$	-0.1483	-5.59
$γ_{6}$	0.0931	3.11
$γ_{7}$	-0.0408	-1.36
$γ_{8}$	-0.0071	-0.32

Estimation Period:
Jan 1, 1990 to Nov 29, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts