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
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1990 to Jul 17, 2026Model 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
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| Parameter | Value | t-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
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