V-Lab: S&P/TSX Composite Index EGARCH Volatility Analysis

V-Lab

S&P/TSX Composite Index EGARCH Volatility Analysis

Volatility Prediction for Monday, July 4th, 2022:22.39% (+0.63%)

Analysis last updated: Thursday, June 30, 2022, 08:31 PM UTC

Date Range:

from

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

Parameter Estimates

	param	t-stat
$ω$	-0.0021	-2.15
$α$	0.1702	38.95
$β$	0.9816	1237.79
$γ$	-0.0771	-25.08

Estimation Period:
Jan 1, 1990 to Jun 30, 2022

News Impact Curve

Volatility Forecasts

Other S&P/TSX Composite Index Analyses
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GJR-GARCH
APARCH
AGARCH
MEM
Asy. MEM
GAS-GARCH Student T
MF2-GARCH

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