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 Monday, June 2nd, 2025:22.73% (-1.04%)

Analysis last updated: Friday, May 30, 2025 at 09:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6633	6.09
$α$	0.1099	10.05
$β$	0.8436	63.19
$γ_{1}$	-0.0005	-0.02
$γ_{2}$	0.0613	1.19
$γ_{3}$	-0.1297	-3.88
$γ_{4}$	0.1147	4.54
$γ_{5}$	-0.0965	-4.12
$γ_{6}$	0.0782	3.14
$γ_{7}$	-0.0084	-0.36
$γ_{8}$	-0.0387	-2.27

Estimation Period:
Jan 1, 1990 to May 30, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts