V-Lab: Danish Krone MF2-GARCH Volatility Analysis

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V-Lab

Danish Krone MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, January 30th, 2023:2.66% (-2.67%)

Analysis last updated: Friday, January 27, 2023, 07:13 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	36
$α$	0.9155	9154990.00
$β$	0.0000	100.00
$γ$	0.1690	1689820.00
$λ_{1}$	0.0151	6.05
$λ_{2}$	1.0000	53.19
$λ_{3}$	0.0000	0.00

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

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts