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, June 30th, 2025:20.64% (-0.90%)

Analysis last updated: Friday, June 27, 2025 at 09:17 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6572	6.03
$α$	0.1098	10.04
$β$	0.8438	63.23
$γ_{1}$	-0.0032	-0.10
$γ_{2}$	0.0654	1.28
$γ_{3}$	-0.1322	-3.96
$γ_{4}$	0.1164	4.60
$γ_{5}$	-0.0984	-4.18
$γ_{6}$	0.0816	3.24
$γ_{7}$	-0.0131	-0.56
$γ_{8}$	-0.0354	-2.06

Estimation Period:
Jan 1, 1990 to Jun 27, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts