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

V-Lab

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

Volatility Prediction for Friday, May 30th, 2025:17.85% (-0.95%)

Analysis last updated: Saturday, May 31, 2025 at 10:03 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0626	7.25
$α$	0.1054	9.72
$β$	0.8564	65.43
$γ_{1}$	0.0476	1.51
$γ_{2}$	0.0010	0.02
$γ_{3}$	-0.1487	-4.46
$γ_{4}$	0.1931	6.95
$γ_{5}$	-0.1686	-6.27
$γ_{6}$	0.1133	3.58
$γ_{7}$	-0.0277	-0.87
$γ_{8}$	-0.0232	-1.02

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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