S&P 500 Index GJR-GARCH Volatility Analysis
Volatility prediction for Monday, July 13th, 2026
1 Day
12.08%
decreased by 0.42%
1 Week
12.29%
decreased by 0.21%
1 Month
13.01%
increased by 0.51%
Analysis last updated: Saturday, July 11, 2026 at 12:23 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1990 to Jul 10, 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
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0216 | 20.61*** |
α ARCH Response to squared shocks | 0.0037 | 1.49 |
β GARCH Volatility persistence | 0.8974 | 416.80*** |
γ leverage Additional response to negative shocks | 0.1597 | 29.61*** |
Persistence:
0.981
Half-life:
36 days
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