V-Lab: Euro GJR-GARCH Volatility Analysis

V-Lab

Euro GJR-GARCH Volatility Analysis

Volatility Prediction for Monday, May 12th, 2025:8.87% (-0.12%)

Analysis last updated: Sunday, May 11, 2025 at 01:14 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0007	13.68
$α$	0.0233	15.85
$β$	0.9716	1,226.78
$γ$	0.0053	2.08

Estimation Period:
Jan 2, 1990 to May 9, 2025

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Volatility Forecasts

Volatility Forecasts