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 Wednesday, April 30th, 2025:31.28% (-1.99%)

Analysis last updated: Tuesday, April 29, 2025 at 09:16 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3759	7.69
$α$	0.1023	10.09
$β$	0.8670	73.24
$γ_{1}$	0.0935	6.32
$γ_{2}$	-0.1476	-6.20
$γ_{3}$	0.0865	5.10
$γ_{4}$	-0.0605	-3.79
$γ_{5}$	0.0555	3.04
$γ_{6}$	-0.0391	-2.86

Estimation Period:
Jan 1, 1990 to Apr 25, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts