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

V-Lab

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V-Lab

Russell 1000 Value Index Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, December 23rd, 2024:16.71% (+0.36%)

Analysis last updated: Friday, December 20, 2024 at 10:43 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9926	7.42
$α$	0.1155	9.63
$β$	0.8644	70.14
$γ_{1}$	0.0004	1.03

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts