V-Lab: Danish Krone Spline-GARCH Volatility Analysis

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V-Lab

Danish Krone Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, December 4th, 2023:6.22% (-0.08%)

Analysis last updated: Sunday, December 3, 2023 at 02:08 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8366	5.08
$α$	0.0249	8.78
$β$	0.9734	322.19
$γ_{1}$	-0.0009	-1.14

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts