V-Lab: Danish Krone EGARCH Volatility Analysis

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V-Lab

Danish Krone EGARCH Volatility Analysis

Volatility Prediction for Monday, September 25th, 2023:5.73% (-0.06%)

Analysis last updated: Friday, September 22, 2023 at 07:16 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0001	0.28
$α$	0.0648	35.09
$β$	0.9959	4149.76
$γ$	0.0069	4.24

Estimation Period:
Jan 2, 1990 to Sep 22, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts