V-Lab: Polish Zloty Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Polish Zloty Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:9.97% (-0.06%)

Analysis last updated: Friday, April 26, 2024 at 07:09 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7085	6.11
$α$	0.0625	7.14
$β$	0.9031	71.90
$γ_{1}$	0.0563	1.31
$γ_{2}$	-0.1005	-1.54
$γ_{3}$	0.0753	1.73
$γ_{4}$	-0.0609	-1.45
$γ_{5}$	0.0831	1.95
$γ_{6}$	-0.1716	-4.77
$γ_{7}$	0.2410	7.76
$γ_{8}$	-0.2052	-6.42
$γ_{9}$	0.1698	4.19
$γ_{10}$	-0.1938	-3.37

Estimation Period:
Sep 1, 1993 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts