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

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V-Lab

Danish Krone Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, January 30th, 2023:7.27% (-0.03%)

Analysis last updated: Friday, January 27, 2023, 07:12 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8716	5.74
$α$	0.0254	8.78
$β$	0.9730	316.31
$γ_{1}$	-0.0001	-0.44

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts