V-Lab
EURO STOXX 50 Volatility Index AGARCH Volatility Analysis
Volatility prediction for Monday, September 28th, 2026
1 Day
94.16%
decreased by 8.93%
1 Week
96.35%
decreased by 6.74%
1 Month
99.55%
decreased by 3.54%
Analysis last updated: Monday, September 28, 2026 at 04:42 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 4, 1999 to Sep 25, 2026Model Insight
The news-impact curve is shifted (γ = -4.20) so that positive returns raise next-day volatility more than negative returns of the same size. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and rare among risky assets.
σ
AGARCH Model
Tap to view equation
Asymmetry: positive returns raise volatility more
| Param | Value | t-stat |
|---|---|---|
| ωconst | 4.6521 | 7.26*** |
| αARCH | 0.1395 | 12.40*** |
| βGARCH | 0.6865 | 66.63*** |
| γleverage | -4.1975 | -5.86*** |
0.826
Persistence4d
Half-lifeσ
AGARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 4.6521 | 7.26*** |
α ARCH Response to squared shocks | 0.1395 | 12.40*** |
β GARCH Volatility persistence | 0.6865 | 66.63*** |
γ leverage Additional response to negative shocks | -4.1975 | -5.86*** |
Persistence:
0.826
Half-life:
4 days
Other EURO STOXX 50 Volatility Index Analyses
Other AGARCH Analyses on Volatility Indices