V-Lab: Shanghai Stock Exchange Composite Index GJR-GARCH Volatility Analysis

V-Lab

Shanghai Stock Exchange Composite Index GJR-GARCH Volatility Analysis

Volatility Prediction for Tuesday, July 1st, 2025:12.42% (-0.09%)

Analysis last updated: Monday, June 30, 2025 at 08:02 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0196	14.00
$α$	0.0656	16.68
$β$	0.9184	304.40
$γ$	0.0286	5.43

Estimation Period:
May 21, 1992 to Jun 27, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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