V-Lab: Euro GJR-GARCH Volatility Analysis

V-Lab

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V-Lab

Euro GJR-GARCH Volatility Analysis

Volatility Prediction for Friday, April 19th, 2024:5.66% (+0.07%)

Analysis last updated: Thursday, April 18, 2024 at 07:15 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0007	13.25
$α$	0.0229	15.72
$β$	0.9717	1226.85
$γ$	0.0059	2.29

Estimation Period:
Jan 2, 1990 to Apr 12, 2024

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Volatility Forecasts

Volatility Forecasts