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, April 19th, 2024:20.77% (-0.96%)

Analysis last updated: Thursday, April 18, 2024 at 09:04 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6601	5.98
$α$	0.1096	9.92
$β$	0.8450	63.00
$γ_{1}$	-0.0100	-0.27
$γ_{2}$	0.0810	1.43
$γ_{3}$	-0.1472	-4.03
$γ_{4}$	0.1260	4.62
$γ_{5}$	-0.0997	-3.77
$γ_{6}$	0.0664	2.46
$γ_{7}$	0.0129	0.52
$γ_{8}$	-0.0521	-2.79

Estimation Period:
Jan 1, 1990 to Apr 12, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts