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

V-Lab

United States Dollar Index GJR-GARCH Volatility Analysis

Volatility Prediction for Friday, July 25th, 2025:6.60% (-0.10%)

Analysis last updated: Saturday, July 26, 2025 at 01:07 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

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Volatility Forecasts

Volatility Forecasts