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

V-Lab

S&P/TSX 60 Index GJR-GARCH Volatility Analysis

Volatility Prediction for Thursday, April 17th, 2025:32.67% (-1.60%)

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
$ω$	0.0122	22.06
$α$	0.0294	13.16
$β$	0.9060	443.69
$γ$	0.1029	21.61

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

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Volatility Forecasts

Volatility Forecasts