V-Lab: Russell 1000 Value Index Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Russell 1000 Value Index Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 15th, 2024:9.08% (-0.19%)

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
$ω$	0.7550	3.75
$α$	0.1187	8.60
$β$	0.8413	53.41
$γ_{1}$	-0.2023	-2.53
$γ_{2}$	0.4024	3.55
$γ_{3}$	-0.3719	-5.34
$γ_{4}$	0.2462	3.38
$γ_{5}$	-0.1022	-1.32
$γ_{6}$	0.1104	1.37
$γ_{7}$	-0.2500	-2.51

Estimation Period:
May 12, 2000 to May 10, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts