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, January 22nd, 2025:22.33% (+1.31%)

Analysis last updated: Tuesday, January 21, 2025 at 10:04 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6671	6.16
$α$	0.1090	9.94
$β$	0.8445	62.46
$γ_{1}$	-0.0023	-0.07
$γ_{2}$	0.0662	1.26
$γ_{3}$	-0.1358	-3.99
$γ_{4}$	0.1201	4.71
$γ_{5}$	-0.1002	-4.18
$γ_{6}$	0.0774	3.07
$γ_{7}$	-0.0047	-0.20
$γ_{8}$	-0.0404	-2.34

Estimation Period:
Jan 1, 1990 to Jan 17, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts