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
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1990 to Jul 16, 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
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Leverage: volatility responds almost entirely to negative shocks
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0222 | 5.39*** |
| αARCH | 0.0082 | 0.84 |
| βGARCH | 0.8911 | 108.29*** |
| γleverage | 0.1610 | 7.43*** |
0.980
Persistence34d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-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
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