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, December 7th, 2021:27.19% (-1.16%)

Analysis last updated: Monday, December 6, 2021, 06:30 PM UTC

Date Range:

from

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

Parameter Estimates

	param	t-stat
$ω$	0.0271	11.76
$α$	0.0113	4.11
$β$	0.9046	437.41
$γ$	0.1329	22.36

Estimation Period:
Jan 1, 1990 to Dec 3, 2021

News Impact Curve

Volatility Forecasts

Other EURO STOXX 50 Price EUR Analyses
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EGARCH
APARCH
AGARCH
MEM
Asy. MEM
GAS-GARCH Student T
MF2-GARCH

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