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

V-Lab

S&P 100 Index GJR-GARCH Volatility Analysis

Volatility Prediction for Tuesday, July 1st, 2025:10.93% (-0.32%)

Analysis last updated: Monday, June 30, 2025 at 09:12 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0202	19.57
$α$	0.0062	2.56
$β$	0.9014	375.13
$γ$	0.1515	27.07

Estimation Period:
Jan 1, 1990 to Jun 27, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts