V-Lab: Czech Koruna MF2-GARCH Volatility Analysis

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V-Lab

Czech Koruna MF2-GARCH Volatility Analysis

Volatility Prediction for Thursday, April 18th, 2024:1.82% (-1.77%)

Analysis last updated: Wednesday, April 17, 2024 at 07:08 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	96
$α$	0.7499	7499470.00
$β$	0.0001	530.00
$γ$	0.5000	5000000.00
$λ_{1}$	0.5270	5269990.00
$λ_{2}$	0.0015	14800.00
$λ_{3}$	0.5322	5322400.00

Estimation Period:
Apr 19, 1993 to Apr 12, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts