V-Lab: Russell 2000 Index GJR-GARCH Volatility Analysis

Skip to main content

V-Lab

Russell 2000 Index GJR-GARCH Volatility Analysis

Volatility Prediction for Wednesday, October 29th, 2025:19.86% (-0.67%)

Analysis last updated: Tuesday, October 28, 2025 at 09:12 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0180	23.33
$α$	0.0390	18.92
$β$	0.8992	542.66
$γ$	0.1061	22.21

Estimation Period:
Jan 1, 1990 to Oct 24, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts