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, July 14th, 2025:20.40% (+0.41%)

Analysis last updated: Friday, July 11, 2025 at 09:17 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6680	6.24
$α$	0.1098	10.03
$β$	0.8431	62.77
$γ_{1}$	-0.0012	-0.04
$γ_{2}$	0.0626	1.25
$γ_{3}$	-0.1309	-3.99
$γ_{4}$	0.1155	4.64
$γ_{5}$	-0.0977	-4.22
$γ_{6}$	0.0816	3.30
$γ_{7}$	-0.0143	-0.62
$γ_{8}$	-0.0339	-2.02

Estimation Period:
Jan 1, 1990 to Jul 11, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts