V-Lab: Australian Dollar Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

Australian Dollar Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, April 19th, 2024:8.55% (-0.01%)

Analysis last updated: Thursday, April 18, 2024 at 07:09 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0483	5.43
$α$	0.0350	6.02
$β$	0.9586	155.28
$γ_{1}$	0.0001	0.11

Estimation Period:
Jan 2, 1990 to Apr 12, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts