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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0234	24.42***
α ARCH Response to squared shocks	0.0329	17.38***
β GARCH Volatility persistence	0.8972	527.76***
γ leverage Additional response to negative shocks	0.1133	23.62***

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S&P SmallCap 600 Index GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P SmallCap 600 Index Analyses