V-Lab: MSCI Europe GJR-GARCH Volatility Analysis

V-Lab

MSCI Europe GJR-GARCH Volatility Analysis

Volatility Prediction for Friday, October 3rd, 2025:9.44% (-0.23%)

Analysis last updated: Saturday, October 4, 2025 at 12:52 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0266	20.39
$α$	0.0028	0.87
$β$	0.8771	354.26
$γ$	0.1934	30.75

Estimation Period:
Dec 30, 1998 to Apr 4, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts