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 Monday, December 23rd, 2024:21.70% (-0.55%)

Analysis last updated: Friday, December 20, 2024 at 10:44 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.0939	7.98
$α$	0.1038	9.67
$β$	0.8693	69.39
$γ_{1}$	0.0682	5.63
$γ_{2}$	-0.0958	-4.71
$γ_{3}$	0.0552	3.21
$γ_{4}$	-0.0413	-3.53

Estimation Period:
May 12, 2000 to Dec 20, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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