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

V-Lab

Van Lanschot Kempen NV GJR-GARCH Volatility Analysis

Volatility Prediction for Thursday, June 19th, 2025:26.30% (-0.79%)

Analysis last updated: Thursday, June 19, 2025 at 10:40 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7563	11.61
$α$	0.0602	6.27
$β$	0.6717	34.45
$γ$	0.0801	2.88

Estimation Period:
Aug 22, 2018 to Jun 13, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts