V-Lab: United States Dollar Index Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

United States Dollar Index Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, December 6th, 2024:7.00% (+0.09%)

Analysis last updated: Saturday, December 7, 2024 at 12:17 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6887	2.07
$α$	0.0375	7.72
$β$	0.9567	162.06
$γ_{1}$	-0.0055	-1.34
$γ_{2}$	0.0070	1.48

Estimation Period:
Jan 1, 1990 to Sep 29, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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