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 Monday, August 15th, 2022:11.94% (-0.18%)

Analysis last updated: Friday, August 12, 2022, 09:08 PM UTC

Date Range:

from

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

Parameter Estimates

	param	t-stat
$ω$	0.0120	23.31
$α$	0.0359	13.70
$β$	0.8962	374.83
$γ$	0.1058	20.68

Estimation Period:
Jan 1, 1990 to Aug 12, 2022

News Impact Curve

Volatility Forecasts

Other S&P/TSX Composite Index Analyses
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