EURO STOXX 50 Volatility Index GJR-GARCH Volatility Analysis
Volatility prediction for Wednesday, July 15th, 2026
1 Day
114.91%
decreased by 8.24%
1 Week
111.50%
decreased by 11.65%
1 Month
103.93%
decreased by 19.22%
Analysis last updated: Wednesday, July 15, 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 Jul 10, 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
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 3.8714 | 20.73*** |
α ARCH Response to squared shocks | 0.1738 | 18.28*** |
β GARCH Volatility persistence | 0.8063 | 160.56*** |
γ leverage Additional response to negative shocks | -0.1732 | -17.79*** |
Persistence:
0.894
Half-life:
6 days
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