V-Lab: Czech Koruna MF2-GARCH Volatility Analysis

V-Lab

| |

V-Lab

Czech Koruna MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, December 23rd, 2024:1.64% (-17.78%)

Analysis last updated: Friday, December 20, 2024 at 07:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	26
$α$	0.7500	7499560.00
$β$	0.0000	440.00
$γ$	0.5000	5000000.00
$λ_{1}$	0.0688	79.97
$λ_{2}$	0.0247	91.82
$λ_{3}$	0.4573	82.01

Estimation Period:
Apr 19, 1993 to Dec 20, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts