Skip to main content
V-Lab

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

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of NASDAQ Composite Index GJR-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Jan 1, 1990 to Jul 10, 2026

Model 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

ParameterValuet-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