V-Lab: GPT Group/The GJR-GARCH Volatility Analysis

V-Lab

GPT Group/The GJR-GARCH Volatility Analysis

Volatility Prediction for Tuesday, June 3rd, 2025:21.12% (-0.21%)

Analysis last updated: Tuesday, June 3, 2025 at 09:51 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0183	16.70
$α$	0.0235	15.00
$β$	0.9417	553.30
$γ$	0.0505	12.38

Estimation Period:
Jan 1, 1990 to May 30, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts