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

V-Lab

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V-Lab

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

Volatility Prediction for Thursday, March 6th, 2025:17.84% (-0.07%)

Analysis last updated: Wednesday, March 5, 2025 at 10:07 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1827	7.29
$α$	0.1001	9.74
$β$	0.8640	69.69
$γ_{1}$	0.0535	1.73
$γ_{2}$	-0.0113	-0.23
$γ_{3}$	-0.1377	-4.09
$γ_{4}$	0.1875	6.66
$γ_{5}$	-0.1665	-6.04
$γ_{6}$	0.1142	3.45
$γ_{7}$	-0.0351	-1.05
$γ_{8}$	-0.0149	-0.61

Estimation Period:
Jan 1, 1990 to Feb 28, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts