V-Lab: NASDAQ 100 Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

NASDAQ 100 Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 15th, 2024:17.08% (-0.29%)

Analysis last updated: Tuesday, May 14, 2024 at 09:06 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8965	8.10
$α$	0.0882	10.15
$β$	0.8796	79.81
$γ_{1}$	-0.0095	-0.31
$γ_{2}$	0.0817	1.66
$γ_{3}$	-0.2036	-5.87
$γ_{4}$	0.2253	8.20
$γ_{5}$	-0.1444	-5.07
$γ_{6}$	0.0831	2.62
$γ_{7}$	-0.0263	-0.82
$γ_{8}$	-0.0187	-0.78

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts