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

V-Lab

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V-Lab

S&P 500 Index Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, March 22nd, 2023:21.44% (+0.16%)

Analysis last updated: Tuesday, March 21, 2023, 10:33 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2830	7.35
$α$	0.1009	9.72
$β$	0.8684	72.25
$γ_{1}$	0.0683	6.25
$γ_{2}$	-0.1117	-6.11
$γ_{3}$	0.0681	4.32
$γ_{4}$	-0.0434	-3.02
$γ_{5}$	0.0677	3.03

Estimation Period:
Jan 1, 1990 to Mar 17, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts