V-Lab: Danish Krone MF2-GARCH Volatility Analysis

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V-Lab

Danish Krone MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, September 25th, 2023:2.12% (-5.57%)

Analysis last updated: Friday, September 22, 2023 at 07:18 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	36
$α$	0.8857	8857200.00
$β$	0.0000	100.00
$γ$	0.2285	2285390.00
$λ_{1}$	0.0153	5.88
$λ_{2}$	0.9979	50.27
$λ_{3}$	0.0000	0.00

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

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts