V-Lab: Czech Koruna MF2-GARCH Volatility Analysis

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V-Lab

Czech Koruna MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, September 20th, 2024:2.29% (-1.66%)

Analysis last updated: Thursday, September 19, 2024 at 07:12 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	31
$α$	0.7498	7498460.00
$β$	0.0002	1540.00
$γ$	0.5000	5000000.00
$λ_{1}$	0.2350	2350140.00
$λ_{2}$	0.0302	301600.00
$λ_{3}$	0.0000	100.00

Estimation Period:
Apr 19, 1993 to Sep 13, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts