V-Lab: Russell 2000 Index Zero Slope Spline-GARCH Volatility Analysis

Skip to main content

V-Lab

Russell 2000 Index Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, October 20th, 2025:25.29% (-1.26%)

Analysis last updated: Friday, October 17, 2025 at 09:26 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6620	6.12
$α$	0.1087	10.02
$β$	0.8450	63.66
$γ_{1}$	-0.0004	-0.01
$γ_{2}$	0.0591	1.20
$γ_{3}$	-0.1257	-3.89
$γ_{4}$	0.1113	4.48
$γ_{5}$	-0.0951	-4.14
$γ_{6}$	0.0830	3.35
$γ_{7}$	-0.0198	-0.85
$γ_{8}$	-0.0291	-1.75

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts