V-Lab: S&P/ASX 200 GJR-GARCH Volatility Analysis

V-Lab

S&P/ASX 200 GJR-GARCH Volatility Analysis

Volatility Prediction for Thursday, October 9th, 2025:9.40% (-0.21%)

Analysis last updated: Wednesday, October 8, 2025 at 06:01 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0201	21.68
$α$	0.0137	6.81
$β$	0.8961	422.10
$γ$	0.1290	23.55

Estimation Period:
May 29, 1992 to Oct 3, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts