V-Lab: Euro GJR-GARCH Volatility Analysis

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V-Lab

Euro GJR-GARCH Volatility Analysis

Volatility Prediction for Friday, June 2nd, 2023:8.28% (-0.10%)

Analysis last updated: Thursday, June 1, 2023 at 07:14 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0007	13.13
$α$	0.0230	15.61
$β$	0.9718	1217.78
$γ$	0.0057	2.16

Estimation Period:
Jan 2, 1990 to May 27, 2023

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Volatility Forecasts