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V-Lab

Euro GJR-GARCH Volatility Analysis

Volatility prediction for Monday, July 27th, 2026

1 Day

4.66%

decreased by 0.05%

1 Week

4.69%

decreased by 0.02%

1 Month

4.78%

increased by 0.07%

Analysis last updated: Sunday, July 26, 2026 at 01:34 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Euro GJR-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Jan 2, 1990 to Jul 24, 2026

Model Insight

With persistence 0.997, volatility shocks have a half-life of 273 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

ParameterValuet-statistic
ω

const

Unconditional variance weight

0.0007
13.73***
α

ARCH

Response to squared shocks

0.0231
16.24***
β

GARCH

Volatility persistence

0.9712
1,234.07***
γ

leverage

Additional response to negative shocks

0.0062
2.50**

Persistence:

0.997

Half-life:

273 days