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, June 3rd, 2025:13.74% (-0.20%)

Analysis last updated: Friday, May 30, 2025 at 08:02 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0197	14.12
$α$	0.0649	16.44
$β$	0.9190	305.71
$γ$	0.0285	5.44

Estimation Period:
May 21, 1992 to May 30, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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