V-Lab: Danish Krone Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Danish Krone Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:5.20% (-0.06%)

Analysis last updated: Sunday, April 28, 2024 at 02:07 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8875	6.19
$α$	0.0248	8.85
$β$	0.9734	323.60
$γ_{1}$	-0.0001	-0.30

Estimation Period:
Jan 2, 1990 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts