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, October 8th, 2025:9.79% (+0.01%)

Analysis last updated: Tuesday, October 7, 2025 at 09:12 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3734	7.64
$α$	0.1032	10.24
$β$	0.8658	74.36
$γ_{1}$	0.0903	6.35
$γ_{2}$	-0.1427	-6.21
$γ_{3}$	0.0824	4.97
$γ_{4}$	-0.0544	-3.56
$γ_{5}$	0.0471	2.70
$γ_{6}$	-0.0321	-2.44

Estimation Period:
Jan 1, 1990 to Oct 3, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts