V-Lab: EURO STOXX 50 Price EUR GJR-GARCH Volatility Analysis

V-Lab

EURO STOXX 50 Price EUR GJR-GARCH Volatility Analysis

Volatility Prediction for Tuesday, August 16th, 2022:14.20% (-0.48%)

Analysis last updated: Monday, August 15, 2022, 05:30 PM UTC

Date Range:

from

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

Parameter Estimates

	param	t-stat
$ω$	0.0283	11.86
$α$	0.0108	3.95
$β$	0.9017	435.83
$γ$	0.1385	22.42

Estimation Period:
Jan 1, 1990 to Aug 12, 2022

News Impact Curve

Volatility Forecasts

Other EURO STOXX 50 Price EUR Analyses
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APARCH
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MEM
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GAS-GARCH Student T
MF2-GARCH

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