Swiss Market Index GJR-GARCH Volatility Analysis
Volatility prediction for Thursday, July 16th, 2026
1 Day
11.72%
decreased by 0.46%
1 Week
12.22%
increased by 0.04%
1 Month
13.62%
increased by 1.44%
Analysis last updated: Wednesday, July 15, 2026 at 06:03 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Jul 10, 2026Model Insight
This asset exhibits a strong leverage effect: volatility responds almost entirely to negative shocks. The ARCH response to positive shocks is negligible.
σ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0480 | 22.84*** |
α ARCH Response to squared shocks | 0.0271 | 6.34*** |
β GARCH Volatility persistence | 0.8347 | 268.47*** |
γ leverage Additional response to negative shocks | 0.1910 | 20.25*** |
Persistence:
0.957
Half-life:
16 days
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