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, October 8th, 2025:17.83% (+0.60%)

Analysis last updated: Tuesday, October 7, 2025 at 09:13 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6603	6.05
$α$	0.1085	10.01
$β$	0.8456	63.93
$γ_{1}$	-0.0012	-0.04
$γ_{2}$	0.0607	1.22
$γ_{3}$	-0.1271	-3.90
$γ_{4}$	0.1123	4.50
$γ_{5}$	-0.0957	-4.14
$γ_{6}$	0.0829	3.33
$γ_{7}$	-0.0197	-0.84
$γ_{8}$	-0.0286	-1.71

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts