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

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V-Lab

Russell 2000 Index Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, December 9th, 2022:22.97% (-1.27%)

Analysis last updated: Friday, December 9, 2022, 12:04 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7933	5.93
$α$	0.1116	10.49
$β$	0.8587	73.96
$γ_{1}$	0.0296	4.04
$γ_{2}$	-0.0454	-4.30
$γ_{3}$	0.0175	2.31
$γ_{4}$	-0.0008	-0.14

Estimation Period:
Jan 1, 1990 to Dec 2, 2022

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