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, November 22nd, 2024:24.00% (+0.45%)

Analysis last updated: Thursday, November 21, 2024 at 10:17 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6662	6.10
$α$	0.1093	9.94
$β$	0.8447	62.61
$γ_{1}$	-0.0039	-0.11
$γ_{2}$	0.0693	1.29
$γ_{3}$	-0.1381	-3.98
$γ_{4}$	0.1214	4.68
$γ_{5}$	-0.1002	-4.09
$γ_{6}$	0.0753	2.95
$γ_{7}$	-0.0011	-0.05
$γ_{8}$	-0.0429	-2.47

Estimation Period:
Jan 1, 1990 to Nov 15, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts