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

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V-Lab

Russell Midcap Index Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, September 29th, 2023:16.55% (-0.04%)

Analysis last updated: Friday, September 29, 2023 at 08:36 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9036	6.15
$α$	0.1203	8.24
$β$	0.8399	49.55
$γ_{1}$	0.2292	3.49
$γ_{2}$	-0.4166	-4.17
$γ_{3}$	0.2707	3.49
$γ_{4}$	-0.1237	-1.72
$γ_{5}$	0.1299	2.16
$γ_{6}$	-0.1469	-3.40

Estimation Period:
Mar 1, 2004 to May 5, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts