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

V-Lab

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V-Lab

Russell 1000 Value Index Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, October 28th, 2024:8.83% (+0.37%)

Analysis last updated: Friday, October 25, 2024 at 09:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7741	3.98
$α$	0.1190	8.67
$β$	0.8406	53.66
$γ_{1}$	-0.1811	-2.45
$γ_{2}$	0.3653	3.47
$γ_{3}$	-0.3480	-5.48
$γ_{4}$	0.2356	3.51
$γ_{5}$	-0.0913	-1.22
$γ_{6}$	0.0897	1.10
$γ_{7}$	-0.2518	-2.36

Estimation Period:
May 12, 2000 to Oct 25, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts