V-Lab: NASDAQ 100 Spline-GARCH Volatility Analysis

V-Lab

|

V-Lab

NASDAQ 100 Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, September 25th, 2023:18.91% (-0.75%)

Analysis last updated: Friday, September 22, 2023 at 11:35 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8730	6.74
$α$	0.0896	11.24
$β$	0.8959	106.57
$γ_{1}$	-0.0056	-2.60
$γ_{2}$	0.0115	2.95

Estimation Period:
Jan 1, 1990 to Sep 22, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts