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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0234	24.41***
α ARCH Response to squared shocks	0.0330	17.37***
β GARCH Volatility persistence	0.8971	527.10***
γ leverage Additional response to negative shocks	0.1133	23.57***

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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