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V-Lab

S&P / TSX 60 VIX Index CAD GJR-GARCH Volatility Analysis

Volatility prediction for Friday, July 17th, 2026

1 Day

100.60%

decreased by 9.47%

1 Week

108.12%

decreased by 1.95%

1 Month

128.22%

increased by 18.15%

Analysis last updated: Friday, July 17, 2026 at 11:36 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

All

graph of S&P / TSX 60 VIX Index CAD GJR-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Jan 2, 2017 to Apr 4, 2025

Model Insight

This asset exhibits a strong leverage effect: negative returns increase next-day volatility 175% more than equivalent positive returns.

σ

GJR-GARCH Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

5.0000
15.55***
α

ARCH

Response to squared shocks

0.1202
9.02***
β

GARCH

Volatility persistence

0.7308
77.21***
γ

leverage

Additional response to negative shocks

0.2109
6.74***

Persistence:

0.956

Half-life:

16 days