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 9th, 2025:20.46% (-0.58%)

Analysis last updated: Tuesday, July 8, 2025 at 09:12 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6677	6.18
$α$	0.1097	10.04
$β$	0.8437	63.15
$γ_{1}$	-0.0001	-0.00
$γ_{2}$	0.0613	1.21
$γ_{3}$	-0.1311	-3.96
$γ_{4}$	0.1165	4.65
$γ_{5}$	-0.0982	-4.22
$γ_{6}$	0.0807	3.25
$γ_{7}$	-0.0124	-0.53
$γ_{8}$	-0.0354	-2.09

Estimation Period:
Jan 1, 1990 to Jul 3, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts