V-Lab: Russell 1000 Growth Index Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Russell 1000 Growth Index Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, November 22nd, 2024:17.54% (-0.82%)

Analysis last updated: Thursday, November 21, 2024 at 10:21 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.0971	7.95
$α$	0.1042	9.69
$β$	0.8692	69.42
$γ_{1}$	0.0687	5.58
$γ_{2}$	-0.0964	-4.66
$γ_{3}$	0.0551	3.16
$γ_{4}$	-0.0409	-3.46

Estimation Period:
May 12, 2000 to Nov 15, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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