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

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V-Lab

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

Volatility Prediction for Thursday, January 23rd, 2020:94.05% (-0.78%)

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
$ω$	0.5199	3.25
$α$	0.2584	5.95
$β$	0.4259	5.11
$γ_{1}$	-1.4459	-1.25
$γ_{2}$	1.9143	1.24
$γ_{3}$	-0.0954	-0.13
$γ_{4}$	-1.4890	-2.11
$γ_{5}$	2.2522	2.73
$γ_{6}$	-1.5492	-1.66
$γ_{7}$	-0.3127	-0.32
$γ_{8}$	1.5486	1.56
$γ_{9}$	-0.9647	-0.57

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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