V-Lab: Egyptian Pound Zero Slope Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

Egyptian Pound Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, April 25th, 2024:14.10% (-0.08%)

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
$ω$	2.1239	4.43
$α$	0.1706	4.70
$β$	0.7326	15.24
$γ_{1}$	0.0307	0.19
$γ_{2}$	0.0075	0.03
$γ_{3}$	0.0269	0.11
$γ_{4}$	-0.1530	-0.69
$γ_{5}$	0.0957	0.40
$γ_{6}$	0.1362	0.64
$γ_{7}$	-0.3032	-1.79
$γ_{8}$	0.1535	0.97
$γ_{9}$	0.2558	1.43
$γ_{10}$	-0.4446	-2.46

Estimation Period:
Jan 30, 2003 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts