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

V-Lab

S&P 500 Index Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, April 17th, 2025:45.29% (-1.66%)

Analysis last updated: Wednesday, April 16, 2025 at 09:17 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3922	7.77
$α$	0.1026	10.05
$β$	0.8665	72.37
$γ_{1}$	0.0959	6.48
$γ_{2}$	-0.1515	-6.36
$γ_{3}$	0.0899	5.28
$γ_{4}$	-0.0649	-3.88
$γ_{5}$	0.0623	2.82
$γ_{6}$	-0.0530	-1.51

Estimation Period:
Jan 1, 1990 to Apr 11, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts