V-Lab: Swiss Franc Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Swiss Franc Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, April 25th, 2024:5.41% (-0.05%)

Analysis last updated: Wednesday, April 24, 2024 at 07:12 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3381	8.65
$α$	0.0230	6.18
$β$	0.9701	215.48
$γ_{1}$	0.0003	0.67

Estimation Period:
Jan 2, 1990 to Apr 19, 2024

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Volatility Forecasts

Volatility Forecasts