V-Lab: Czech Koruna AGARCH Volatility Analysis

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V-Lab

Czech Koruna AGARCH Volatility Analysis

Volatility Prediction for Monday, September 25th, 2023:7.65% (-0.13%)

Analysis last updated: Friday, September 22, 2023 at 07:13 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0014	11.24
$α$	0.0363	23.33
$β$	0.9600	569.40
$γ$	0.0166	1.40

Estimation Period:
Apr 19, 1993 to Sep 22, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts