S&P/ASX 200 GJR-GARCH Volatility Analysis
Volatility Prediction for Tuesday, November 11th, 2025:11.12% (-0.29%)
Parameter Estimates
| param | t-stat | |
|---|---|---|
| 0.0200 | 21.65 | |
| 0.0137 | 6.84 | |
| 0.8963 | 422.79 | |
| 0.1287 | 23.52 |
Estimation Period:
May 29, 1992 to Nov 7, 2025
May 29, 1992 to Nov 7, 2025
News Impact Curve
Volatility Forecasts
Other GJR-GARCH Analyses on Equity Indices