V-Lab: Invesco QQQ Trust Series 1 Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Invesco QQQ Trust Series 1 Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, December 24th, 2024:21.72% (-0.74%)

Analysis last updated: Monday, December 23, 2024 at 10:18 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0392	6.62
$α$	0.0950	9.21
$β$	0.8715	67.13
$γ_{1}$	-0.2935	-6.98
$γ_{2}$	0.4679	7.37
$γ_{3}$	-0.2488	-4.99
$γ_{4}$	0.0922	1.78
$γ_{5}$	0.0115	0.21
$γ_{6}$	-0.0420	-0.83
$γ_{7}$	0.0067	0.19

Estimation Period:
Mar 10, 1999 to Dec 20, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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