Euro EGARCH Volatility Analysis
Volatility prediction for Tuesday, July 21st, 2026
1 Day
4.74%
decreased by 0.07%
1 Week
4.79%
decreased by 0.02%
1 Month
5.01%
increased by 0.20%
Analysis last updated: Monday, July 20, 2026 at 07:02 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Jul 17, 2026Model Insight
With persistence 0.995, volatility shocks have a half-life of 137 trading days (~0.5 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
Leverage: Negative returns increase volatility 20% more than positive returns
σ
EGARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | -0.0012 | -2.80*** |
α ARCH Response to squared shocks | 0.0665 | 35.20*** |
β GARCH Volatility persistence | 0.9950 | 3,671.44*** |
γ leverage Additional response to negative shocks | -0.0060 | -3.52*** |
Persistence:
0.995
Half-life:
137 days
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