S&P 500 Index GJR-GARCH Volatility Analysis
Volatility prediction for Thursday, July 16th, 2026
1 Day
11.89%
decreased by 0.41%
1 Week
12.11%
decreased by 0.19%
1 Month
12.87%
increased by 0.57%
Analysis last updated: Thursday, July 16, 2026 at 12:26 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1990 to Jul 10, 2026Model Insight
This asset exhibits a strong leverage effect: volatility responds almost entirely to negative shocks. The ARCH response to positive shocks is negligible.
σ
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0216 | 20.61*** |
α ARCH Response to squared shocks | 0.0037 | 1.49 |
β GARCH Volatility persistence | 0.8974 | 416.80*** |
γ leverage Additional response to negative shocks | 0.1597 | 29.61*** |
Persistence:
0.981
Half-life:
36 days
Other S&P 500 Index Analyses
Other GJR-GARCH Analyses on Equity Indices