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 Friday, December 9th, 2022:23.04% (-0.74%)

Analysis last updated: Friday, December 9, 2022, 12:05 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2879	7.47
$α$	0.1013	9.64
$β$	0.8671	70.82
$γ_{1}$	0.0706	6.43
$γ_{2}$	-0.1152	-6.30
$γ_{3}$	0.0705	4.53
$γ_{4}$	-0.0469	-3.25
$γ_{5}$	0.0749	3.10

Estimation Period:
Jan 1, 1990 to Dec 2, 2022

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