V-Lab: Czech Koruna GJR-GARCH Volatility Analysis

V-Lab

|

V-Lab

Czech Koruna GJR-GARCH Volatility Analysis

Volatility Prediction for Friday, June 2nd, 2023:7.21% (-0.08%)

Analysis last updated: Thursday, June 1, 2023 at 07:28 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0014	11.17
$α$	0.0373	16.30
$β$	0.9602	565.48
$γ$	-0.0023	-0.80

Estimation Period:
Apr 19, 1993 to May 27, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts