V-Lab: Singapore Dollar Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Singapore Dollar Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 6th, 2024:4.08% (+0.31%)

Analysis last updated: Friday, May 3, 2024 at 07:18 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9537	6.80
$α$	0.0496	9.57
$β$	0.9428	164.46
$γ_{1}$	-0.0002	-0.48

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts