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V-Lab

FT Wilshire 5000 Index GJR-GARCH Volatility Analysis

Volatility prediction for Friday, July 17th, 2026

1 Day

11.81%

increased by 0.01%

1 Week

12.04%

increased by 0.24%

1 Month

12.81%

increased by 1.01%

Analysis last updated: Wednesday, September 2, 2026 at 04:38 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of FT Wilshire 5000 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 16, 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

Leverage: volatility responds almost entirely to negative shocks
ParamValuet-stat
ωconst0.0222
5.39***
αARCH0.0082
0.84
βGARCH0.8911
108.29***
γleverage0.1610
7.43***

0.980

Persistence

34d

Half-life
σ

GJR-GARCH Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

0.0222
5.39***
α

ARCH

Response to squared shocks

0.0082
0.84
β

GARCH

Volatility persistence

0.8911
108.29***
γ

leverage

Additional response to negative shocks

0.1610
7.43***

Persistence:

0.980

Half-life:

34 days