V-Lab
V-Lab
S&P SmallCap 600 Index GJR-GARCH Volatility Analysis
Volatility Prediction for Monday, January 30th, 2023:14.83% (-0.62%)

Analysis last updated: Friday, January 27, 2023, 11:17 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of S&P SmallCap 600 Index GJR-GARCH
paramt-stat
ω0.025424.52
α0.031915.51
β0.8899483.35
γ0.125223.83
Estimation Period:
Jan 1, 1990 to Jan 27, 2023
Impact of return on volatility tomorrow
Volatility Forecasts