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 Monday, December 23rd, 2024:27.00% (-1.20%)

Analysis last updated: Friday, December 20, 2024 at 10:34 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6661	6.14
$α$	0.1094	9.95
$β$	0.8440	62.33
$γ_{1}$	-0.0029	-0.08
$γ_{2}$	0.0673	1.27
$γ_{3}$	-0.1366	-3.99
$γ_{4}$	0.1205	4.70
$γ_{5}$	-0.1000	-4.15
$γ_{6}$	0.0762	3.02
$γ_{7}$	-0.0024	-0.10
$γ_{8}$	-0.0425	-2.45

Estimation Period:
Jan 1, 1990 to Dec 20, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts