V-Lab: Australian Dollar GJR-GARCH Volatility Analysis

V-Lab

Australian Dollar GJR-GARCH Volatility Analysis

Volatility Prediction for Tuesday, July 1st, 2025:7.57% (-0.09%)

Analysis last updated: Monday, June 30, 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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts