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

V-Lab

S&P/TSX Composite Index GJR-GARCH Volatility Analysis

Volatility Prediction for Tuesday, January 18th, 2022:9.99% (-0.05%)

Analysis last updated: Monday, January 17, 2022, 09:30 PM UTC

Date Range:

from

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

Parameter Estimates

	param	t-stat
$ω$	0.0118	23.03
$α$	0.0366	13.74
$β$	0.8961	369.83
$γ$	0.1047	20.12

Estimation Period:
Jan 1, 1990 to Jan 14, 2022

News Impact Curve

Volatility Forecasts

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