V-Lab: Danish Krone GJR-GARCH Volatility Analysis

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V-Lab

Danish Krone GJR-GARCH Volatility Analysis

Volatility Prediction for Friday, June 2nd, 2023:6.03% (-0.06%)

Analysis last updated: Thursday, June 1, 2023 at 07:09 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0004	11.39
$α$	0.0293	19.04
$β$	0.9731	1349.71
$γ$	-0.0075	-3.03

Estimation Period:
Jan 2, 1990 to May 27, 2023

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Volatility Forecasts