V-Lab: United States Dollar Index GJR-GARCH Volatility Analysis

V-Lab

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V-Lab

United States Dollar Index GJR-GARCH Volatility Analysis

Volatility Prediction for Friday, April 26th, 2024:5.69% (-0.05%)

Analysis last updated: Saturday, April 27, 2024 at 05:26 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0014	17.79
$α$	0.0419	23.05
$β$	0.9534	982.92
$γ$	-0.0014	-0.38

Estimation Period:
Jan 1, 1990 to Sep 29, 2023

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Volatility Forecasts