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

V-Lab

| |

V-Lab

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

Volatility Prediction for Monday, December 23rd, 2024:17.34% (-0.04%)

Analysis last updated: Friday, December 20, 2024 at 10:33 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1683	7.19
$α$	0.1008	9.75
$β$	0.8630	69.09
$γ_{1}$	0.0501	1.60
$γ_{2}$	-0.0046	-0.09
$γ_{3}$	-0.1442	-4.27
$γ_{4}$	0.1927	6.89
$γ_{5}$	-0.1689	-6.06
$γ_{6}$	0.1126	3.38
$γ_{7}$	-0.0306	-0.92
$γ_{8}$	-0.0183	-0.75

Estimation Period:
Jan 1, 1990 to Dec 20, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts