V-Lab: Dow Jones South Africa Index GJR-GARCH Volatility Analysis

V-Lab

Dow Jones South Africa Index GJR-GARCH Volatility Analysis

Volatility Prediction for Friday, August 12th, 2022:16.40% (+0.86%)

Analysis last updated: Friday, August 12, 2022, 04:03 AM UTC

Date Range:

from

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

Parameter Estimates

	param	t-stat
$ω$	0.0297	22.81
$α$	0.0389	14.45
$β$	0.8901	343.01
$γ$	0.0983	14.68

Estimation Period:
Jan 1, 1992 to Jul 8, 2022

News Impact Curve

Volatility Forecasts

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