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, October 4th, 2023:14.06% (+1.34%)

Analysis last updated: Tuesday, October 3, 2023 at 10:35 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1612	7.15
$α$	0.1009	9.65
$β$	0.8636	68.37
$γ_{1}$	0.0429	1.24
$γ_{2}$	0.0181	0.33
$γ_{3}$	-0.1766	-4.91
$γ_{4}$	0.2193	7.23
$γ_{5}$	-0.1729	-4.89
$γ_{6}$	0.0849	2.13
$γ_{7}$	0.0208	0.49
$γ_{8}$	-0.0806	-1.38

Estimation Period:
Jan 1, 1990 to Sep 29, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts