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V-Lab

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

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of S&P 500 Index GJR-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Jan 1, 1990 to Jul 10, 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

GJR-GARCH Model

Tap to view equation

ParameterValuet-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