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 Tuesday, April 22nd, 2025:40.02% (-1.03%)

Analysis last updated: Tuesday, April 22, 2025 at 09:14 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0510	7.36
$α$	0.1051	9.58
$β$	0.8549	63.88
$γ_{1}$	0.0454	1.47
$γ_{2}$	0.0057	0.12
$γ_{3}$	-0.1542	-4.72
$γ_{4}$	0.1981	7.29
$γ_{5}$	-0.1709	-6.47
$γ_{6}$	0.1093	3.45
$γ_{7}$	-0.0081	-0.22
$γ_{8}$	-0.0832	-1.34

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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