V-Lab
EURO STOXX 50 Volatility Index GJR-GARCH Volatility Analysis
Volatility prediction for Friday, September 11th, 2026
1 Day
109.71%
decreased by 5.98%
1 Week
107.15%
decreased by 8.54%
1 Month
101.53%
decreased by 14.16%
Analysis last updated: Friday, September 11, 2026 at 04:30 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 4, 1999 to Sep 4, 2026Model Insight
This asset shows a rare inverse leverage effect: volatility responds almost entirely to positive returns, rising far more after gains than after losses. This is the reverse of the usual leverage effect, rare among risky assets.
σ
GJR-GARCH Model
Tap to view equation
Inverse leverage: volatility responds almost entirely to positive returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 3.8629 | 5.17*** |
| αARCH | 0.1725 | 4.56*** |
| βGARCH | 0.8070 | 40.14*** |
| γleverage | -0.1720 | -4.44*** |
0.893
Persistence6d
Half-lifeσ
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 3.8629 | 5.17*** |
α ARCH Response to squared shocks | 0.1725 | 4.56*** |
β GARCH Volatility persistence | 0.8070 | 40.14*** |
γ leverage Additional response to negative shocks | -0.1720 | -4.44*** |
Persistence:
0.893
Half-life:
6 days
Other EURO STOXX 50 Volatility Index Analyses
Other GJR-GARCH Analyses on Volatility Indices