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 Monday, April 29th, 2024:19.10% (+0.87%)

Analysis last updated: Friday, April 26, 2024 at 09:13 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8704	7.99
$α$	0.0881	10.08
$β$	0.8788	78.98
$γ_{1}$	-0.0193	-0.64
$γ_{2}$	0.0989	2.04
$γ_{3}$	-0.2170	-6.31
$γ_{4}$	0.2346	8.64
$γ_{5}$	-0.1486	-5.23
$γ_{6}$	0.0809	2.50
$γ_{7}$	-0.0119	-0.32
$γ_{8}$	-0.0608	-1.18

Estimation Period:
Jan 1, 1990 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts