V-Lab: S&P 500 Index Zero Slope Spline-GARCH Volatility Analysis

V-Lab

S&P 500 Index Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, June 2nd, 2025:16.90% (-0.93%)

Analysis last updated: Friday, May 30, 2025 at 09:13 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3721	7.75
$α$	0.1026	10.11
$β$	0.8659	73.30
$γ_{1}$	0.0931	6.40
$γ_{2}$	-0.1469	-6.28
$γ_{3}$	0.0859	5.15
$γ_{4}$	-0.0598	-3.82
$γ_{5}$	0.0547	3.05
$γ_{6}$	-0.0387	-2.87

Estimation Period:
Jan 1, 1990 to May 30, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts