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

V-Lab

Russell Midcap Index Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, April 11th, 2025:59.08% (-1.00%)

Analysis last updated: Saturday, April 12, 2025 at 02:20 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.5009	4.98
$α$	0.1201	9.46
$β$	0.8553	61.92
$γ_{1}$	-0.0524	-3.54
$γ_{2}$	0.0741	3.52
$γ_{3}$	-0.0284	-2.86

Estimation Period:
Mar 1, 2004 to Apr 4, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts