V-Lab: United States Dollar Index GJR-GARCH Volatility Analysis

V-Lab

United States Dollar Index GJR-GARCH Volatility Analysis

Volatility Prediction for Friday, June 27th, 2025:7.91% (+0.03%)

Analysis last updated: Saturday, June 28, 2025 at 12:57 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0015	18.25
$α$	0.0405	23.00
$β$	0.9543	1,021.71
$γ$	-0.0008	-0.23

Estimation Period:
Jan 1, 1990 to Apr 4, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts