Croatia Zagreb Stock Exchange Crobex 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
9.74%
decreased by 0.33%
1 Week
9.97%
decreased by 0.10%
1 Month
10.85%
increased by 0.78%
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 | |
|---|---|---|
| 0.0091 | 12.16 | |
| 0.0783 | 18.02 | |
| 0.9076 | 383.61 | |
| 0.0281 | 3.36 |
Estimation Period:
Jan 2, 1997 to Jun 3, 2026
Jan 2, 1997 to Jun 3, 2026
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