V-Lab: Czech Koruna MF2-GARCH Volatility Analysis

V-Lab

|

V-Lab

Czech Koruna MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, September 25th, 2023:0.00% (-3.01%)

Analysis last updated: Friday, September 22, 2023 at 07:15 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	61
$α$	0.7500	7499900.00
$β$	0.0000	100.00
$γ$	0.5000	5000000.00
$λ_{1}$	0.0977	11.96
$λ_{2}$	0.2280	13.49
$λ_{3}$	0.0000	0.00

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts