V-Lab: Euro GJR-GARCH Volatility Analysis

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V-Lab

Euro GJR-GARCH Volatility Analysis

Volatility Prediction for Monday, January 30th, 2023:7.45% (-0.02%)

Analysis last updated: Friday, January 27, 2023, 07:16 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0007	13.06
$α$	0.0230	15.56
$β$	0.9716	1206.93
$γ$	0.0060	2.28

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

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