V-Lab: Singapore Dollar Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Singapore Dollar Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 6th, 2024:4.12% (+0.30%)

Analysis last updated: Friday, May 3, 2024 at 07:20 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9844	7.71
$α$	0.0495	9.53
$β$	0.9428	163.85
$γ_{1}$	-0.0000	-0.16

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts