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 Monday, April 21st, 2025:41.38% (-2.89%)

Analysis last updated: Thursday, April 17, 2025 at 09:15 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6650	6.17
$α$	0.1094	9.97
$β$	0.8437	62.37
$γ_{1}$	-0.0010	-0.03
$γ_{2}$	0.0630	1.22
$γ_{3}$	-0.1322	-3.95
$γ_{4}$	0.1170	4.64
$γ_{5}$	-0.0984	-4.19
$γ_{6}$	0.0785	3.16
$γ_{7}$	-0.0069	-0.30
$γ_{8}$	-0.0405	-2.37

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

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Volatility Forecasts

Volatility Forecasts