EURO STOXX 50 Volatility Index GJR-GARCH Volatility Analysis
Volatility prediction for Tuesday, October 13th, 2026
1 Day
95.76%
decreased by 4.99%
1 Week
95.72%
decreased by 5.03%
1 Month
95.65%
decreased by 5.10%
Analysis last updated: Tuesday, October 13, 2026 at 05:14 AM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 4, 1999 to Oct 9, 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
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Inverse leverage: volatility responds almost entirely to positive returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 3.8542 | 5.17*** |
| αARCH | 0.1716 | 4.56*** |
| βGARCH | 0.8078 | 40.27*** |
| γleverage | -0.1715 | -4.45*** |
0.894
Persistence6d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 3.8542 | 5.17*** |
α ARCH Response to squared shocks | 0.1716 | 4.56*** |
β GARCH Volatility persistence | 0.8078 | 40.27*** |
γ leverage Additional response to negative shocks | -0.1715 | -4.45*** |
Persistence:
0.894
Half-life:
6 days
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