V-Lab: Egyptian Pound GJR-GARCH Volatility Analysis

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V-Lab

Egyptian Pound GJR-GARCH Volatility Analysis

Volatility Prediction for Friday, June 2nd, 2023:4.04% (+0.20%)

Analysis last updated: Thursday, June 1, 2023 at 07:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0023	10.88
$α$	0.1333	12.12
$β$	0.8471	124.96
$γ$	-0.0112	-0.61

Estimation Period:
Jan 30, 2003 to May 27, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts