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 Friday, November 22nd, 2024:13.10% (-0.27%)

Analysis last updated: Thursday, November 21, 2024 at 10:19 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1685	7.12
$α$	0.1009	9.79
$β$	0.8636	69.74
$γ_{1}$	0.0490	1.54
$γ_{2}$	-0.0021	-0.04
$γ_{3}$	-0.1469	-4.30
$γ_{4}$	0.1950	6.91
$γ_{5}$	-0.1700	-5.99
$γ_{6}$	0.1122	3.32
$γ_{7}$	-0.0305	-0.91
$γ_{8}$	-0.0171	-0.72

Estimation Period:
Jan 1, 1990 to Nov 15, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts