V-Lab: Danish Krone MF2-GARCH Volatility Analysis

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V-Lab

Danish Krone MF2-GARCH Volatility Analysis

Volatility Prediction for Tuesday, March 11th, 2025:1.24% (-2.46%)

Analysis last updated: Monday, March 10, 2025 at 07:03 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	91
$α$	0.9771	9770670.00
$β$	0.0000	100.00
$γ$	0.0458	458460.00
$λ_{1}$	4.1693	41693120.00
$λ_{2}$	0.5839	5839340.00
$λ_{3}$	0.0087	87130.00

Estimation Period:
Jan 2, 1990 to Mar 7, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts