V-Lab: Czech Koruna Spline-GARCH Volatility Analysis

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V-Lab

Czech Koruna Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, September 25th, 2023:7.39% (-0.13%)

Analysis last updated: Friday, September 22, 2023 at 07:14 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0779	7.29
$α$	0.0359	5.63
$β$	0.9595	135.64
$γ_{1}$	-0.0007	-1.04

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts