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 5th, 2026
1 Day
15.46%
decreased by 0.50%
1 Week
15.75%
decreased by 0.21%
1 Month
16.87%
increased by 0.91%
Analysis last updated: Friday, June 5, 2026 at 08:18 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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