MSCI Europe AGARCH Volatility Analysis
Volatility prediction for Friday, July 10th, 2026
1 Day
15.43%
decreased by 1.60%
1 Week
15.63%
decreased by 1.40%
1 Month
16.23%
decreased by 0.80%
Analysis last updated: Friday, July 10, 2026 at 08:34 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 30, 1998 to Apr 4, 2025Model Insight
The news-impact curve is shifted (γ = 0.72) so that negative returns raise next-day volatility more than positive returns of the same size. The gap is largest for small shocks and narrows for larger ones.
σ
AGARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | -0.0102 | -4.18*** |
α ARCH Response to squared shocks | 0.1267 | 61.97*** |
β GARCH Volatility persistence | 0.8293 | 469.59*** |
γ leverage Additional response to negative shocks | 0.7158 | 40.22*** |
Persistence:
0.956
Half-life:
15 days
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