V-Lab: Hungarian Forint Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Hungarian Forint Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, April 18th, 2024:9.44% (-0.13%)

Analysis last updated: Wednesday, April 17, 2024 at 07:15 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3879	3.41
$α$	0.0301	5.91
$β$	0.9585	129.41
$γ_{1}$	0.0814	3.71
$γ_{2}$	-0.1290	-4.13
$γ_{3}$	0.0877	4.37
$γ_{4}$	-0.0817	-4.27
$γ_{5}$	0.0612	3.53
$γ_{6}$	-0.0120	-0.75
$γ_{7}$	-0.0151	-1.16

Estimation Period:
Jun 15, 1993 to Apr 12, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts