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V-Lab

EURO STOXX 50 Price EUR GJR-GARCH Volatility Analysis

Volatility prediction for Monday, July 27th, 2026

1 Day

16.43%

decreased by 0.54%

1 Week

16.57%

decreased by 0.40%

1 Month

17.03%

increased by 0.06%

Analysis last updated: Friday, July 24, 2026 at 06:17 PM UTC

Date Range:

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to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

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graph of EURO STOXX 50 Price EUR GJR-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Jan 1, 1990 to Jul 24, 2026

Model Insight

This asset exhibits a strong leverage effect: volatility responds almost entirely to negative shocks. The ARCH response to positive shocks is negligible.

σ

GJR-GARCH Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

0.0311
13.75***
α

ARCH

Response to squared shocks

0.0114
4.53***
β

GARCH

Volatility persistence

0.8972
451.77***
γ

leverage

Additional response to negative shocks

0.1415
23.65***

Persistence:

0.979

Half-life:

33 days