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V-Lab

EURO STOXX 50 Price EUR GJR-GARCH Volatility Analysis

Volatility prediction for Friday, July 24th, 2026

1 Day

16.97%

increased by 3.28%

1 Week

17.08%

increased by 3.39%

1 Month

17.46%

increased by 3.77%

Analysis last updated: Thursday, July 23, 2026 at 06:16 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

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 17, 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
451.51***
γ

leverage

Additional response to negative shocks

0.1415
23.64***

Persistence:

0.979

Half-life:

33 days