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

V-Lab

S&P 500 Index Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, January 18th, 2022:14.98% (-0.71%)

Analysis last updated: Saturday, January 15, 2022, 03:07 AM UTC

Date Range:

from

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

Parameter Estimates

	param	t-stat
$ω$	1.3243	7.65
$α$	0.1023	9.48
$β$	0.8648	68.30
$γ_{1}$	0.0767	6.66
$γ_{2}$	-0.1237	-6.52
$γ_{3}$	0.0735	4.77
$γ_{4}$	-0.0469	-3.29
$γ_{5}$	0.0567	2.44

Estimation Period:
Jan 1, 1990 to Jan 14, 2022

News Impact Curve

Volatility Forecasts

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Asy. MEM
Asy. Power MEM
GAS-GARCH Student T
MF2-GARCH

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