V-Lab: Van Lanschot Kempen NV GJR-GARCH Volatility Analysis

V-Lab

Van Lanschot Kempen NV GJR-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 20th, 2025:25.39% (+0.25%)

Analysis last updated: Tuesday, May 20, 2025 at 11:26 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7578	11.56
$α$	0.0599	6.22
$β$	0.6718	34.53
$γ$	0.0818	2.92

Estimation Period:
Aug 22, 2018 to May 16, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts