V-Lab: Wilshire 5000 Total Market Index Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Wilshire 5000 Total Market Index Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, October 9th, 2024:13.06% (+0.25%)

Analysis last updated: Thursday, October 10, 2024 at 09:06 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0585	7.10
$α$	0.1055	9.73
$β$	0.8577	66.14
$γ_{1}$	0.0425	1.28
$γ_{2}$	0.0133	0.26
$γ_{3}$	-0.1631	-4.71
$γ_{4}$	0.2045	7.18
$γ_{5}$	-0.1717	-5.85
$γ_{6}$	0.1055	3.12
$γ_{7}$	-0.0164	-0.51
$γ_{8}$	-0.0280	-1.24

Estimation Period:
Jan 1, 1990 to Jul 5, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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