V-Lab: S&P Total Market Index Zero Slope Spline-GARCH Volatility Analysis

V-Lab

S&P Total Market Index Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, July 1st, 2025:13.24% (-0.33%)

Analysis last updated: Monday, June 30, 2025 at 11:09 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8563	5.70
$α$	0.1331	8.66
$β$	0.8328	47.91
$γ_{1}$	-0.0375	-2.74
$γ_{2}$	0.0658	3.19
$γ_{3}$	-0.0388	-3.37

Estimation Period:
Mar 30, 2006 to Jun 27, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts