V-Lab
V-Lab
S&P/TSX 60 Index GJR-GARCH Volatility Analysis
Volatility Prediction for Monday, September 25th, 2023:16.88% (-0.75%)

Analysis last updated: Saturday, September 23, 2023 at 09:49 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of S&P/TSX 60 Index GJR-GARCH
paramt-stat
ω0.011821.73
α0.031513.64
β0.9058434.85
γ0.099920.63
Estimation Period:
Jan 2, 1990 to Sep 22, 2023
Impact of return on volatility tomorrow
Volatility Forecasts