V-Lab: NASDAQ 100 Spline-GARCH Volatility Analysis

V-Lab

NASDAQ 100 Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, January 18th, 2022:22.00% (-0.91%)

Analysis last updated: Saturday, January 15, 2022, 01:57 AM UTC

Date Range:

from

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

Parameter Estimates

	param	t-stat
$ω$	0.9094	8.39
$α$	0.0920	9.76
$β$	0.8729	72.55
$γ_{1}$	0.0102	0.41
$γ_{2}$	0.0346	0.87
$γ_{3}$	-0.1540	-5.05
$γ_{4}$	0.1995	7.33
$γ_{5}$	-0.1469	-5.85
$γ_{6}$	0.1096	3.68
$γ_{7}$	-0.0864	-1.95

Estimation Period:
Jan 1, 1990 to Jan 14, 2022

News Impact Curve

Volatility Forecasts

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EGARCH
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AGARCH
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Asy. MEM
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GAS-GARCH Student T
MF2-GARCH

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