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 9th, 2025:37.46% (-1.67%)

Analysis last updated: Tuesday, April 8, 2025 at 09:16 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3792	7.71
$α$	0.1012	10.16
$β$	0.8682	74.15
$γ_{1}$	0.0939	6.32
$γ_{2}$	-0.1481	-6.20
$γ_{3}$	0.0869	5.11
$γ_{4}$	-0.0609	-3.80
$γ_{5}$	0.0557	3.04
$γ_{6}$	-0.0390	-2.85

Estimation Period:
Jan 1, 1990 to Apr 4, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts