AEX Volatility Index GJR-GARCH Volatility Analysis
Inactive
Last recorded values (Monday, January 4th, 2021):
1 Day
104.38%
1 Week
103.32%
1 Month
100.50%
Analysis last updated: Monday, March 1, 2021 at 05:19 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
| param | t-stat | |
|---|---|---|
| 2.4910 | 20.19 | |
| 0.1617 | 19.74 | |
| 0.8357 | 157.17 | |
| -0.1317 | -12.39 |
Estimation Period:
Jan 4, 2000 to Dec 31, 2020
Jan 4, 2000 to Dec 31, 2020
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