V-Lab: Euro AGARCH Volatility Analysis

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V-Lab

Euro AGARCH Volatility Analysis

Volatility Prediction for Thursday, October 5th, 2023:6.42% (-0.09%)

Analysis last updated: Wednesday, October 4, 2023 at 07:15 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0008	13.10
$α$	0.0296	42.77
$β$	0.9674	1358.67
$γ$	0.0487	4.55

Estimation Period:
Jan 2, 1990 to Sep 29, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts