V-Lab
V-Lab
S&P SmallCap 600 Index GJR-GARCH Volatility Analysis
Volatility Prediction for Tuesday, December 5th, 2023:17.55% (-0.42%)

Analysis last updated: Monday, December 4, 2023 at 10:19 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of S&P SmallCap 600 Index GJR-GARCH
paramt-stat
ω0.024224.15
α0.031616.11
β0.8936501.47
γ0.120123.61
Estimation Period:
Jan 1, 1990 to Dec 1, 2023
Impact of return on volatility tomorrow
Volatility Forecasts