V-Lab: Danish Krone Zero Slope Spline-GARCH Volatility Analysis

V-Lab

|

V-Lab

Danish Krone Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, December 4th, 2023:6.36% (-0.08%)

Analysis last updated: Sunday, December 3, 2023 at 02:12 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8636	5.76
$α$	0.0247	8.83
$β$	0.9736	326.49
$γ_{1}$	-0.0001	-0.47

Estimation Period:
Jan 2, 1990 to Dec 1, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts