V-Lab
Euro GJR-GARCH Volatility Analysis
Volatility prediction for Wednesday, August 19th, 2026
1 Day
4.28%
decreased by 0.03%
1 Week
4.31%
decreased by 0.00%
1 Month
4.41%
increased by 0.10%
Analysis last updated: Tuesday, August 18, 2026 at 07:41 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Aug 14, 2026Model Insight
With persistence 0.998, volatility shocks have a half-life of 278 trading days (~1.1 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
Leverage: Negative returns increase volatility 27% more than positive returns
σ
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0007 | 13.49*** |
α ARCH Response to squared shocks | 0.0232 | 16.27*** |
β GARCH Volatility persistence | 0.9712 | 1,234.04*** |
γ leverage Additional response to negative shocks | 0.0062 | 2.49** |
Persistence:
0.998
Half-life:
278 days
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