V-Lab
Dow Jones Euro Stoxx Index AGARCH Volatility Analysis
Volatility prediction for Friday, September 18th, 2026
1 Day
13.89%
decreased by 0.90%
1 Week
14.20%
decreased by 0.59%
1 Month
15.15%
increased by 0.36%
Analysis last updated: Thursday, September 17, 2026 at 06:24 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1990 to Sep 11, 2026Model Insight
The news-impact curve is shifted (γ = 0.69) so that negative returns raise next-day volatility more than positive returns of the same size. The gap is largest for small shocks and narrows for larger ones.
σ
AGARCH Model
Tap to view equation
Asymmetry: negative returns raise volatility more
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0000 | 0.00 |
| αARCH | 0.0899 | 7.15*** |
| βGARCH | 0.8774 | 80.09*** |
| γleverage | 0.6892 | 5.76*** |
0.967
Persistence21d
Half-lifeσ
AGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0000 | 0.00 |
α ARCH Response to squared shocks | 0.0899 | 7.15*** |
β GARCH Volatility persistence | 0.8774 | 80.09*** |
γ leverage Additional response to negative shocks | 0.6892 | 5.76*** |
Persistence:
0.967
Half-life:
21 days
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