V-Lab: S&P 500 Equal Weight Index (EWI) Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

S&P 500 Equal Weight Index (EWI) Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 13th, 2024:12.35% (-0.44%)

Analysis last updated: Friday, May 10, 2024 at 09:07 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1810	6.68
$α$	0.1006	9.11
$β$	0.8689	68.74
$γ_{1}$	0.0430	1.21
$γ_{2}$	0.0108	0.19
$γ_{3}$	-0.1440	-3.78
$γ_{4}$	0.1730	5.63
$γ_{5}$	-0.1493	-4.49
$γ_{6}$	0.0859	2.38
$γ_{7}$	0.0058	0.18
$γ_{8}$	-0.0424	-1.75

Estimation Period:
Jan 1, 1990 to May 10, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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