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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0035	9.09***
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.8395	71.16***
γ leverage Additional response to negative shocks	0.3096	10.95***

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PGIM S&P 500 Buffer 20 ETF - February GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other PGIM S&P 500 Buffer 20 ETF - February Analyses