V-Lab: NASDAQ 100 Spline-GARCH Volatility Analysis

V-Lab

NASDAQ 100 Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, July 1st, 2022:34.74% (-1.26%)

Analysis last updated: Friday, July 1, 2022, 01:07 AM UTC

Date Range:

from

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

Parameter Estimates

	param	t-stat
$ω$	0.8522	6.47
$α$	0.0933	11.22
$β$	0.8916	101.59
$γ_{1}$	-0.0064	-2.69
$γ_{2}$	0.0124	2.83

Estimation Period:
Jan 1, 1990 to Jun 24, 2022

News Impact Curve

Volatility Forecasts

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MF2-GARCH

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