V-Lab
V-Lab
S&P SmallCap 600 Index GJR-GARCH Volatility Analysis
Volatility Prediction for Monday, December 23rd, 2024:26.84% (-1.37%)

Analysis last updated: Friday, December 20, 2024 at 10:40 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of S&P SmallCap 600 Index GJR-GARCH
paramt-stat
ω0.023924.62
α0.035817.49
β0.8938501.02
γ0.113222.41
Estimation Period:
Jan 1, 1990 to Dec 20, 2024
Impact of return on volatility tomorrow
Volatility Forecasts