V-Lab: S&P 500 Index Asy. Power MEM Volatility Analysis

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V-Lab

S&P 500 Index Asy. Power MEM Volatility Analysis

Volatility Prediction for Monday, June 5th, 2023:11.92% (-0.19%)

Analysis last updated: Friday, June 2, 2023 at 10:18 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0284	36.83
$α$	0.1802	54.18
$β$	0.8051	244.57
$γ$	0.3286	30.86
$δ$	1.0748	33.58

Estimation Period:
Jan 1, 1990 to Jun 2, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts