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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0414	17.97***
α ARCH Response to squared shocks	0.0160	1.72*
β GARCH Volatility persistence	0.8229	119.52***
γ leverage Additional response to negative shocks	0.2543	17.11***

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Vanguard S&P 500 ETF GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Vanguard S&P 500 ETF Analyses