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V-Lab

S&P 500 Index EGARCH Volatility Analysis

Volatility prediction for Monday, July 20th, 2026

1 Day

14.47%

increased by 1.69%

1 Week

14.60%

increased by 1.82%

1 Month

15.06%

increased by 2.28%

Analysis last updated: Saturday, July 18, 2026 at 12:25 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of S&P 500 Index EGARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Jan 1, 1990 to Jul 17, 2026

Model Insight

This asset exhibits a strong leverage effect: volatility responds almost entirely to negative shocks. The ARCH response to positive shocks is negligible.

σ

EGARCH Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

0.0041
1.45
α

ARCH

Response to squared shocks

0.1495
35.99***
β

GARCH

Volatility persistence

0.9715
686.58***
γ

leverage

Additional response to negative shocks

-0.1287
-34.34***

Persistence:

0.972

Half-life:

24 days