V-Lab: US Dollar to Euro GJR-GARCH Volatility Analysis

V-Lab

US Dollar to Euro GJR-GARCH Volatility Analysis

Volatility Prediction for Monday, October 6th, 2025:6.05% (-0.05%)

Analysis last updated: Friday, October 3, 2025 at 07:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0006	10.81
$α$	0.0262	16.13
$β$	0.9756	1,088.89
$γ$	-0.0086	-3.23

Estimation Period:
Jan 4, 1999 to Oct 3, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts