V-Lab: NASDAQ Composite Index Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

NASDAQ Composite Index Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 15th, 2024:17.25% (-0.27%)

Analysis last updated: Tuesday, May 14, 2024 at 09:04 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7128	7.17
$α$	0.0994	10.13
$β$	0.8620	68.84
$γ_{1}$	-0.0201	-0.61
$γ_{2}$	0.1146	2.25
$γ_{3}$	-0.2417	-7.24
$γ_{4}$	0.2483	9.41
$γ_{5}$	-0.1587	-5.84
$γ_{6}$	0.0868	2.88
$γ_{7}$	-0.0170	-0.58
$γ_{8}$	-0.0274	-1.27

Estimation Period:
Jan 1, 1990 to May 10, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts