V-Lab: Czech Koruna EGARCH Volatility Analysis

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V-Lab

Czech Koruna EGARCH Volatility Analysis

Volatility Prediction for Wednesday, October 4th, 2023:7.93% (+0.59%)

Analysis last updated: Tuesday, October 3, 2023 at 07:07 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0008	1.50
$α$	0.0926	22.99
$β$	0.9928	1568.41
$γ$	0.0017	0.88

Estimation Period:
Apr 19, 1993 to Sep 29, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts