V-Lab: Singapore Dollar Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

Singapore Dollar Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, April 25th, 2024:3.64% (-0.01%)

Analysis last updated: Wednesday, April 24, 2024 at 07:20 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9531	6.79
$α$	0.0496	9.56
$β$	0.9428	164.37
$γ_{1}$	-0.0003	-0.49

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts