V-Lab: New Zealand Dollar Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

New Zealand Dollar Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 7th, 2024:8.32% (-0.10%)

Analysis last updated: Monday, May 6, 2024 at 07:14 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6805	6.53
$α$	0.0295	5.17
$β$	0.9629	141.11
$γ_{1}$	-0.0021	-2.24
$γ_{2}$	0.0025	2.09

Estimation Period:
Jan 2, 1990 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts