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

V-Lab

Russell 1000 Value Index Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, October 8th, 2025:8.22% (-0.03%)

Analysis last updated: Tuesday, October 7, 2025 at 09:15 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9985	7.54
$α$	0.1180	9.64
$β$	0.8613	69.14
$γ_{1}$	0.0004	1.08

Estimation Period:
May 12, 2000 to Oct 3, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts