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 Wednesday, October 8th, 2025:8.39% (+0.53%)

Analysis last updated: Wednesday, October 8, 2025 at 12:52 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0133	23.21
$α$	0.0306	13.82
$β$	0.9008	448.38
$γ$	0.1080	22.13

Estimation Period:
Jan 2, 1990 to Oct 3, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts