V-Lab
V-Lab
S&P/TSX 60 Index GJR-GARCH Volatility Analysis
Volatility Prediction for Wednesday, March 22nd, 2023:15.38% (-0.55%)

Analysis last updated: Wednesday, March 22, 2023, 04:07 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of S&P/TSX 60 Index GJR-GARCH
paramt-stat
ω0.011921.67
α0.032113.74
β0.9050431.16
γ0.100920.63
Estimation Period:
Jan 2, 1990 to Mar 17, 2023
Impact of return on volatility tomorrow
Volatility Forecasts