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 Monday, March 24th, 2025:22.75% (-0.98%)

Analysis last updated: Friday, March 21, 2025 at 09:19 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6598	6.08
$α$	0.1085	9.92
$β$	0.8449	62.57
$γ_{1}$	-0.0031	-0.09
$γ_{2}$	0.0665	1.28
$γ_{3}$	-0.1348	-4.02
$γ_{4}$	0.1195	4.75
$γ_{5}$	-0.1004	-4.27
$γ_{6}$	0.0796	3.21
$γ_{7}$	-0.0086	-0.38
$γ_{8}$	-0.0374	-2.23

Estimation Period:
Jan 1, 1990 to Mar 21, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts