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 Tuesday, January 14th, 2025:14.62% (-0.80%)

Analysis last updated: Monday, January 13, 2025 at 10:03 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1803	7.43
$α$	0.1001	9.63
$β$	0.8625	68.14
$γ_{1}$	0.0543	1.76
$γ_{2}$	-0.0100	-0.20
$γ_{3}$	-0.1435	-4.32
$γ_{4}$	0.1944	7.06
$γ_{5}$	-0.1703	-6.21
$γ_{6}$	0.1100	3.30
$γ_{7}$	-0.0157	-0.41
$γ_{8}$	-0.0666	-1.03

Estimation Period:
Jan 1, 1990 to Jan 10, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts