V-Lab: Australian Dollar Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Australian Dollar Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, October 5th, 2023:8.61% (-0.15%)

Analysis last updated: Wednesday, October 4, 2023 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0554	6.36
$α$	0.0351	5.92
$β$	0.9585	152.41
$γ_{1}$	0.0001	0.61

Estimation Period:
Jan 2, 1990 to Sep 29, 2023

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