V-Lab: Polish Zloty Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Polish Zloty Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:10.80% (+0.01%)

Analysis last updated: Friday, April 19, 2024 at 07:15 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7085	6.13
$α$	0.0626	7.12
$β$	0.9028	71.50
$γ_{1}$	0.0567	1.32
$γ_{2}$	-0.1011	-1.55
$γ_{3}$	0.0761	1.75
$γ_{4}$	-0.0622	-1.49
$γ_{5}$	0.0849	2.00
$γ_{6}$	-0.1736	-4.85
$γ_{7}$	0.2422	7.85
$γ_{8}$	-0.2052	-6.44
$γ_{9}$	0.1687	4.19
$γ_{10}$	-0.1892	-3.35

Estimation Period:
Sep 1, 1993 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts