NASDAQ Composite Index GJR-GARCH Volatility Analysis
Volatility prediction for Monday, July 13th, 2026
1 Day
18.89%
decreased by 0.86%
1 Week
18.97%
decreased by 0.78%
1 Month
19.28%
decreased by 0.47%
Analysis last updated: Saturday, July 11, 2026 at 12:04 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 | 0.0310 | 23.63*** |
α ARCH Response to squared shocks | 0.0267 | 11.00*** |
β GARCH Volatility persistence | 0.8930 | 439.91*** |
γ leverage Additional response to negative shocks | 0.1260 | 24.15*** |
Persistence:
0.983
Half-life:
40 days
Other NASDAQ Composite Index Analyses
Other GJR-GARCH Analyses on Equity Indices