V-Lab: S&P/TSX 60 Index EGARCH Volatility Analysis

V-Lab

S&P/TSX 60 Index EGARCH Volatility Analysis

Volatility Prediction for Thursday, April 17th, 2025:29.12% (-2.11%)

Analysis last updated: Thursday, April 17, 2025 at 12:53 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0016	1.43
$α$	0.1517	39.98
$β$	0.9839	1,294.61
$γ$	-0.0798	-27.95

Estimation Period:
Jan 2, 1990 to Apr 11, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts