V-Lab: Egyptian Pound MF2-GARCH Volatility Analysis

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V-Lab

Egyptian Pound MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, January 30th, 2023:7.21% (-0.25%)

Analysis last updated: Friday, January 27, 2023, 07:16 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	126
$α$	0.1837	25.77
$β$	0.6448	41.55
$γ$	0.0215	1.28
$λ_{1}$	0.0138	0.71
$λ_{2}$	0.8463	0.48
$λ_{3}$	0.0000	0.00

Estimation Period:
May 30, 1990 to Jan 27, 2023

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts