V-Lab: Egyptian Pound Zero Slope Spline-GARCH Volatility Analysis

V-Lab

Egyptian Pound Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, September 17th, 2025:5.12% (-0.01%)

Analysis last updated: Tuesday, September 16, 2025 at 07:03 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.3436	5.49
$α$	0.1803	5.75
$β$	0.7102	17.71
$γ_{1}$	0.0034	0.06
$γ_{2}$	0.0717	0.72
$γ_{3}$	-0.0892	-0.80
$γ_{4}$	-0.0483	-0.46
$γ_{5}$	0.2137	2.49
$γ_{6}$	-0.3099	-3.14
$γ_{7}$	0.2673	2.64
$γ_{8}$	-0.1403	-1.76
$γ_{9}$	0.0189	0.38

Estimation Period:
Jan 30, 2003 to Sep 12, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts