V-Lab: Euro GJR-GARCH Volatility Analysis

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V-Lab

Euro GJR-GARCH Volatility Analysis

Volatility Prediction for Monday, December 4th, 2023:6.44% (-0.08%)

Analysis last updated: Sunday, December 3, 2023 at 01:45 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0007	13.38
$α$	0.0228	15.62
$β$	0.9718	1228.58
$γ$	0.0058	2.24

Estimation Period:
Jan 2, 1990 to Dec 1, 2023

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Volatility Forecasts