Illustrative GARCH(1,1) Coefficients for Modeling SPX Variance

Summary

The document asks for typical GARCH(1,1) coefficients for estimating variance in the S&P 500 index. A respondent gives one illustrative parameter set, reporting that it worked reasonably well after calibration to long historical periods.

The exchange is brief and does not identify the sample period, data frequency, estimation procedure, or forecast horizon. The coefficients should therefore be treated as a context-specific example rather than universal defaults. The document provides no comparisons across parameterizations or evidence about out-of-sample performance.

Key ideas

• The exchange concerns GARCH(1,1) parameters for modeling S&P 500 index variance.
• One respondent reports a coefficient set calibrated using long historical periods.
• The example omits sample details and does not establish that the values generalize to other data or horizons.

Tags

# Typical SPX variance GARCH(1,1) coefficients


# Typical SPX variance GARCH(1,1) coefficients












Can someone provide a typical numerical values of GARCH(1,1) coefficients $(\omega,\alpha,\beta)$ for estimating SPX index variance? I will appreciate it if some references could be provided.

## Answer by James65 (score 2)

https://quant.stackexchange.com/a/37084

Have found that using Alpha =0.06, Beta =0.93, omega =0.01 works fairly well. That is from calibrating to histories over quite long time periods.

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