V-Lab: S&P 100 Index GJR-GARCH Volatility Analysis

V-Lab

S&P 100 Index GJR-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 24th, 2022:35.38% (-1.69%)

Analysis last updated: Tuesday, May 24, 2022, 12:09 AM UTC

Date Range:

from

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

Parameter Estimates

	param	t-stat
$ω$	0.0196	18.63
$α$	0.0092	3.42
$β$	0.9001	350.21
$γ$	0.1488	24.40

Estimation Period:
Jan 1, 1990 to May 20, 2022

News Impact Curve

Volatility Forecasts

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