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

V-Lab

S&P 500 Index Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, August 15th, 2022:20.57% (+1.08%)

Analysis last updated: Saturday, August 13, 2022, 01:57 AM UTC

Date Range:

from

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

Parameter Estimates

	param	t-stat
$ω$	1.3045	7.51
$α$	0.1025	9.64
$β$	0.8655	69.87
$γ_{1}$	0.0726	6.50
$γ_{2}$	-0.1180	-6.36
$γ_{3}$	0.0712	4.59
$γ_{4}$	-0.0463	-3.23
$γ_{5}$	0.0659	2.78

Estimation Period:
Jan 1, 1990 to Aug 12, 2022

News Impact Curve

Volatility Forecasts

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

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