MSCI Europe GJR-GARCH Volatility Analysis
Volatility prediction for Friday, June 5th, 2026
1 Day
11.82%
decreased by 0.48%
1 Week
12.10%
decreased by 0.20%
1 Month
13.02%
increased by 0.72%
Analysis last updated: Friday, June 5, 2026 at 08:23 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
| param | t-stat | |
|---|---|---|
| 0.0266 | 20.39 | |
| 0.0028 | 0.87 | |
| 0.8771 | 354.26 | |
| 0.1934 | 30.75 |
Estimation Period:
Dec 30, 1998 to Apr 4, 2025
Dec 30, 1998 to Apr 4, 2025
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