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Param	Value	t-stat
ωconst	3.3235	2.89***
αARCH	0.1748	1.61
βGARCH	0.3218	1.76*
γleverage	0.0827	0.43

Parameter	Value	t-statistic
ω const Unconditional variance weight	3.3235	2.89***
α ARCH Response to squared shocks	0.1748	1.61
β GARCH Volatility persistence	0.3218	1.76*
γ leverage Additional response to negative shocks	0.0827	0.43

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Gvs S P A GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Gvs S P A Analyses