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V-Lab

S&P 500 Growth Index EGARCH Volatility Analysis

Volatility prediction for Friday, July 31st, 2026

1 Day

23.79%

decreased by 0.76%

1 Week

23.51%

decreased by 1.04%

1 Month

22.62%

decreased by 1.93%

Analysis last updated: Thursday, July 30, 2026 at 11:06 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of S&P 500 Growth Index EGARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Oct 29, 1992 to Jul 24, 2026

Model Insight

This asset exhibits a strong leverage effect: volatility responds almost entirely to negative shocks. The ARCH response to positive shocks is negligible.

σ

EGARCH Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

0.0094
3.64***
α

ARCH

Response to squared shocks

0.1603
37.67***
β

GARCH

Volatility persistence

0.9735
811.22***
γ

leverage

Additional response to negative shocks

-0.1214
-28.58***

Persistence:

0.973

Half-life:

26 days