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 Friday, November 22nd, 2024:12.69% (+0.90%)

Analysis last updated: Thursday, November 21, 2024 at 10:20 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0007	7.37
$α$	0.1156	9.61
$β$	0.8646	70.20
$γ_{1}$	0.0005	1.12

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts