V-Lab
RTS Volatility Index GJR-GARCH Volatility Analysis
Volatility Prediction for Friday, September 6th, 2019:51.59% (-0.02%)
Analysis last updated: Monday, March 1, 2021 at 09:11 PM UTC
Parameter Estimates
| param | t-stat | |
|---|---|---|
| 1.1336 | 9.63 | |
| 0.0987 | 11.79 | |
| 0.8921 | 149.80 | |
| -0.0411 | -3.56 |
Estimation Period:
Jan 10, 2006 to Aug 2, 2019
Jan 10, 2006 to Aug 2, 2019
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