V-Lab: SPDR S&P 500 ETF Trust GJR-GARCH Volatility Analysis

V-Lab

SPDR S&P 500 ETF Trust GJR-GARCH Volatility Analysis

Volatility Prediction for Wednesday, July 2nd, 2025:10.31% (-0.31%)

Analysis last updated: Tuesday, July 1, 2025 at 09:43 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0240	20.19
$α$	0.0026	0.81
$β$	0.8881	381.83
$γ$	0.1820	26.99

Estimation Period:
Jan 29, 1993 to Jun 27, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts