V-Lab
S&P / TSX 60 VIX Volatility Index GJR-GARCH Volatility Analysis
Volatility Prediction for Thursday, January 23rd, 2020:104.23% (-8.12%)
Analysis last updated: Monday, March 1, 2021 at 07:58 PM UTC
Parameter Estimates
| param | t-stat | |
|---|---|---|
| 5.0000 | 14.52 | |
| 0.1526 | 8.76 | |
| 0.7610 | 73.21 | |
| 0.0806 | 2.31 |
Estimation Period:
Oct 18, 2010 to Jan 17, 2020
Oct 18, 2010 to Jan 17, 2020
News Impact Curve
Volatility Forecasts
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