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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

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 Aug 14, 2026

Model 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

ParameterValuet-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