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 Thursday, October 5th, 2023:15.26% (-1.05%)

Analysis last updated: Wednesday, October 4, 2023 at 10:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0283	36.92
$α$	0.1797	54.44
$β$	0.8056	246.50
$γ$	0.3270	30.95
$δ$	1.0794	33.93

Estimation Period:
Jan 1, 1990 to Sep 29, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts