V-Lab
EURO STOXX 50 Volatility Index GJR-GARCH Volatility Analysis
Volatility prediction for Monday, September 21st, 2026
1 Day
102.72%
increased by 0.96%
1 Week
101.39%
decreased by 0.37%
1 Month
98.55%
decreased by 3.21%
Analysis last updated: Monday, September 21, 2026 at 04:41 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 4, 1999 to Sep 18, 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 | 3.8653 | 5.17*** |
| αARCH | 0.1724 | 4.56*** |
| βGARCH | 0.8071 | 40.16*** |
| γleverage | -0.1721 | -4.45*** |
0.893
Persistence6d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 3.8653 | 5.17*** |
α ARCH Response to squared shocks | 0.1724 | 4.56*** |
β GARCH Volatility persistence | 0.8071 | 40.16*** |
γ leverage Additional response to negative shocks | -0.1721 | -4.45*** |
Persistence:
0.893
Half-life:
6 days
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