V-Lab: Russell 2000 Index Zero Slope Spline-GARCH Volatility Analysis

V-Lab

Russell 2000 Index Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, July 30th, 2025:19.29% (-0.42%)

Analysis last updated: Tuesday, July 29, 2025 at 09:12 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6684	6.01
$α$	0.1100	10.13
$β$	0.8454	64.60
$γ_{1}$	-0.0009	-0.03
$γ_{2}$	0.0611	1.19
$γ_{3}$	-0.1287	-3.82
$γ_{4}$	0.1136	4.43
$γ_{5}$	-0.0960	-4.03
$γ_{6}$	0.0804	3.16
$γ_{7}$	-0.0143	-0.60
$γ_{8}$	-0.0333	-1.94

Estimation Period:
Jan 1, 1990 to Jul 25, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts