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 Wednesday, October 4th, 2023:20.43% (+1.30%)

Analysis last updated: Tuesday, October 3, 2023 at 10:13 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6601	5.83
$α$	0.1109	9.99
$β$	0.8451	63.34
$γ_{1}$	-0.0153	-0.39
$γ_{2}$	0.0908	1.50
$γ_{3}$	-0.1530	-3.93
$γ_{4}$	0.1262	4.30
$γ_{5}$	-0.0943	-3.24
$γ_{6}$	0.0552	1.88
$γ_{7}$	0.0234	0.85
$γ_{8}$	-0.0550	-2.61

Estimation Period:
Jan 1, 1990 to Sep 29, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts