V-Lab: Euro GJR-GARCH Volatility Analysis

V-Lab

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V-Lab

Euro GJR-GARCH Volatility Analysis

Volatility Prediction for Monday, December 30th, 2024:5.81% (-0.07%)

Analysis last updated: Sunday, December 29, 2024 at 01:19 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0007	13.33
$α$	0.0222	15.78
$β$	0.9723	1272.68
$γ$	0.0061	2.41

Estimation Period:
Jan 2, 1990 to Dec 27, 2024

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Volatility Forecasts