V-Lab: Australian Dollar GJR-GARCH Volatility Analysis

V-Lab

Australian Dollar GJR-GARCH Volatility Analysis

Volatility Prediction for Friday, July 4th, 2025:7.36% (-0.06%)

Analysis last updated: Thursday, July 3, 2025 at 07:01 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0025	13.81
$α$	0.0156	13.39
$β$	0.9627	774.47
$γ$	0.0268	9.65

Estimation Period:
Jan 2, 1990 to Jun 27, 2025

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Volatility Forecasts

Volatility Forecasts