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

V-Lab

S&P 500 Index Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, July 11th, 2025:11.17% (-0.36%)

Analysis last updated: Thursday, July 10, 2025 at 09:12 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3831	7.91
$α$	0.1028	10.08
$β$	0.8646	72.42
$γ_{1}$	0.0950	6.67
$γ_{2}$	-0.1504	-6.56
$γ_{3}$	0.0894	5.43
$γ_{4}$	-0.0649	-4.06
$γ_{5}$	0.0646	3.06
$γ_{6}$	-0.0638	-1.87

Estimation Period:
Jan 1, 1990 to Jul 3, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts