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 Friday, July 1st, 2022:28.16% (-1.80%)

Analysis last updated: Friday, July 1, 2022, 12:54 AM UTC

Date Range:

from

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

Parameter Estimates

	param	t-stat
$ω$	0.7279	5.42
$α$	0.1144	10.51
$β$	0.8579	74.58
$γ_{1}$	0.0134	2.81
$γ_{2}$	-0.0240	-3.73
$γ_{3}$	0.0138	4.70

Estimation Period:
Jan 1, 1990 to Jun 24, 2022

News Impact Curve

Volatility Forecasts

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