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Volatility Analysis
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IBEX 35 Index GJR-GARCH Volatility Analysis
Volatility Prediction for Monday, January 18th, 2021:18.29% (2.25%)
Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of IBEX 35 Index GJR-GARCH
Parameter Estimates
paramt-stat
ω0.032919.87
α0.02169.37
β0.9056449.42
γ0.108021.49
Estimation Period:
Jan 2, 1990 to Jan 15, 2021
News Impact Curve
Impact of return on volatility tomorrow
Volatility Forecasts
Volatility Forecasts
  • Other IBEX 35 Index Analyses
  • GARCH
  • EGARCH
  • APARCH
  • AGARCH
  • MEM
  • Asy. MEM
  • GAS-GARCH Student T
  • Other GJR-GARCH Analyses on Equity Indices

  • S&P 500 Index
  • NASDAQ Composite Index
  • Dow Jones Industrial Average
  • FTSE 100 Index
  • Nikkei 225
  • Deutsche Boerse AG German Stock Index DAX
  • FTSE MIB Index
  • CAC 40 Index
  • Ibovespa Brasil Sao Paulo Stock Exchange Index
  • Hong Kong Hang Seng Index
  • Russell 2000 Index
  • Russell Midcap Index
  • Budapest Stock Exchange Budapest Stock Index
  • Korea Stock Exchange KOSPI Index
  • S&P/ASX 200
  • Dow Jones South Africa Index
  • MSCI World
  • MSCI Asia Pacific
  • MSCI Europe
  • MSCI USA
  • S&P BSE SENSEX Index
  • Karachi Stock Exchange KSE100 Index
  • Warsaw Stock Exchange WIG Total Return Index
  • FTSE World Italy Large Cap Index
  • S&P/TSX Composite Index
  • S&P/TSX 60 Index
  • Mexican Stock Exchange Mexican Bolsa IPC Index
  • EURO STOXX 50 Price EUR
  • Dow Jones Euro Stoxx Index
  • AEX-Index
  • OMX Stockholm 30 Index
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