Wilshire Small Cap 250 GJR-GARCH Volatility Analysis
Inactive
Last recorded values (Friday, July 31st, 2009):
1 Day
19.27%
1 Week
19.47%
1 Month
20.20%
Analysis last updated: Monday, March 1, 2021 at 07:58 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
| param | t-stat | |
|---|---|---|
| 0.0328 | 8.95 | |
| 0.0440 | 9.92 | |
| 0.8839 | 286.06 | |
| 0.1210 | 10.24 |
Estimation Period:
Jan 30, 1990 to Jul 30, 2009
Jan 30, 1990 to Jul 30, 2009
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