V-Lab: Danish Krone Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Danish Krone Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, April 26th, 2024:5.17% (-0.06%)

Analysis last updated: Thursday, April 25, 2024 at 07:09 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8449	5.23
$α$	0.0249	8.82
$β$	0.9732	321.62
$γ_{1}$	-0.0009	-1.19

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts