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

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V-Lab

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

Volatility Prediction for Thursday, December 4th, 2025:13.97% (-0.57%)

Analysis last updated: Wednesday, December 3, 2025 at 10:46 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3660	7.73
$α$	0.1026	10.19
$β$	0.8656	73.65
$γ_{1}$	0.0898	6.46
$γ_{2}$	-0.1419	-6.32
$γ_{3}$	0.0821	5.04
$γ_{4}$	-0.0544	-3.64
$γ_{5}$	0.0486	2.83
$γ_{6}$	-0.0345	-2.62

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts