V-Lab: Egyptian Pound GJR-GARCH Volatility Analysis

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V-Lab

Egyptian Pound GJR-GARCH Volatility Analysis

Volatility Prediction for Wednesday, February 5th, 2025:8.10% (+1.18%)

Analysis last updated: Tuesday, February 4, 2025 at 07:01 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0025	11.80
$α$	0.1203	12.04
$β$	0.8506	130.86
$γ$	0.0027	0.16

Estimation Period:
Jan 30, 2003 to Jan 31, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts