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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

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

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graph of EURO STOXX 50 Volatility Index GJR-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Jan 4, 1999 to Sep 4, 2026

Model 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
ParamValuet-stat
ωconst3.8629
5.17***
αARCH0.1725
4.56***
βGARCH0.8070
40.14***
γleverage-0.1720
-4.44***

0.893

Persistence

6d

Half-life
σ

GJR-GARCH Model

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ParameterValuet-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