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

V-Lab

Wilshire 5000 Total Market Index Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, July 3rd, 2025:11.92% (-0.13%)

Analysis last updated: Friday, July 4, 2025 at 09:06 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0585	7.25
$α$	0.1075	9.64
$β$	0.8538	64.33
$γ_{1}$	0.0475	1.56
$γ_{2}$	-0.0012	-0.03
$γ_{3}$	-0.1438	-4.37
$γ_{4}$	0.1889	6.73
$γ_{5}$	-0.1677	-6.39
$γ_{6}$	0.1170	3.71
$γ_{7}$	-0.0269	-0.73
$γ_{8}$	-0.0525	-0.83

Estimation Period:
Jan 1, 1990 to Jun 20, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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