V-Lab: S&P / TSX 60 VIX Volatility Index Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

S&P / TSX 60 VIX Volatility Index Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, January 23rd, 2020:94.94% (-0.77%)

Analysis last updated: Thursday, January 23, 2020 at 07:24 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

Parameter Estimates

	param	t-stat
$ω$	0.5218	3.26
$α$	0.2588	5.97
$β$	0.4252	5.09
$γ_{1}$	-1.4270	-1.23
$γ_{2}$	1.8871	1.23
$γ_{3}$	-0.0861	-0.12
$γ_{4}$	-1.4848	-2.10
$γ_{5}$	2.2389	2.71
$γ_{6}$	-1.5322	-1.65
$γ_{7}$	-0.3346	-0.35
$γ_{8}$	1.5876	1.86
$γ_{9}$	-1.0608	-1.80

Estimation Period:
Oct 18, 2010 to Jan 17, 2020

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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