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 Wednesday, November 13th, 2024:14.50% (-0.14%)

Analysis last updated: Tuesday, November 12, 2024 at 10:24 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3656	7.26
$α$	0.0998	9.37
$β$	0.8745	71.36
$γ_{1}$	0.0869	5.33
$γ_{2}$	-0.1285	-4.95
$γ_{3}$	0.0683	3.69
$γ_{4}$	-0.0576	-3.16
$γ_{5}$	0.0580	2.94
$γ_{6}$	-0.0366	-2.57

Estimation Period:
Jan 1, 1990 to Nov 8, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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