V-Lab: NASDAQ 100 Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

NASDAQ 100 Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, January 14th, 2025:19.27% (-0.86%)

Analysis last updated: Monday, January 13, 2025 at 10:12 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8871	8.23
$α$	0.0879	10.14
$β$	0.8780	78.74
$γ_{1}$	-0.0092	-0.32
$γ_{2}$	0.0788	1.74
$γ_{3}$	-0.2005	-6.13
$γ_{4}$	0.2286	8.71
$γ_{5}$	-0.1536	-5.93
$γ_{6}$	0.0941	3.14
$γ_{7}$	-0.0318	-0.92
$γ_{8}$	-0.0409	-0.79

Estimation Period:
Jan 1, 1990 to Jan 10, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts