Skip to main content
V-Lab

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

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Swiss Market Index GJR-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Jan 2, 1990 to Jul 10, 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

GJR-GARCH Model

Tap to view equation

ParameterValuet-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