V-Lab: Hungarian Forint Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Hungarian Forint Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, September 23rd, 2024:7.32% (+0.01%)

Analysis last updated: Friday, September 20, 2024 at 07:17 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3835	3.39
$α$	0.0299	5.95
$β$	0.9588	130.85
$γ_{1}$	0.0780	3.64
$γ_{2}$	-0.1239	-4.06
$γ_{3}$	0.0855	4.43
$γ_{4}$	-0.0829	-4.61
$γ_{5}$	0.0675	4.05
$γ_{6}$	-0.0225	-1.55
$γ_{7}$	-0.0061	-0.54

Estimation Period:
Jun 15, 1993 to Sep 20, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts