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

V-Lab

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V-Lab

NASDAQ Composite Index Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 15th, 2024:16.04% (-0.28%)

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
$ω$	0.6926	7.11
$α$	0.0993	10.05
$β$	0.8606	67.91
$γ_{1}$	-0.0283	-0.87
$γ_{2}$	0.1289	2.58
$γ_{3}$	-0.2527	-7.69
$γ_{4}$	0.2567	9.89
$γ_{5}$	-0.1632	-6.09
$γ_{6}$	0.0849	2.79
$γ_{7}$	-0.0013	-0.04
$γ_{8}$	-0.0779	-1.55

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts