Cyprus Stock Exchange General Index GJR-GARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Friday, June 12th, 2026
1 Day
14.35%
decreased by 0.63%
1 Week
14.66%
decreased by 0.32%
1 Month
15.85%
increased by 0.87%
Analysis last updated: Friday, June 12, 2026 at 10:23 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
| param | t-stat | |
|---|---|---|
| 0.0180 | 15.31 | |
| 0.1147 | 22.16 | |
| 0.8877 | 300.42 | |
| -0.0048 | -0.54 |
Estimation Period:
Sep 3, 2004 to Apr 30, 2026
Sep 3, 2004 to Apr 30, 2026
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