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

V-Lab

| |

V-Lab

Russell 2000 Index Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, October 28th, 2024:15.89% (-0.46%)

Analysis last updated: Friday, October 25, 2024 at 09:08 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6431	5.94
$α$	0.1084	9.81
$β$	0.8445	62.06
$γ_{1}$	-0.0131	-0.38
$γ_{2}$	0.0848	1.59
$γ_{3}$	-0.1498	-4.36
$γ_{4}$	0.1304	5.08
$γ_{5}$	-0.1050	-4.31
$γ_{6}$	0.0724	2.81
$γ_{7}$	0.0176	0.63
$γ_{8}$	-0.1056	-2.26

Estimation Period:
Jan 1, 1990 to Oct 25, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts