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

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V-Lab

Egyptian Pound Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, July 29th, 2024:5.32% (-0.12%)

Analysis last updated: Friday, July 26, 2024 at 07:14 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.3957	4.63
$α$	0.1818	5.61
$β$	0.7113	17.46
$γ_{1}$	0.0166	0.12
$γ_{2}$	0.0311	0.12
$γ_{3}$	0.0091	0.04
$γ_{4}$	-0.1463	-0.68
$γ_{5}$	0.1128	0.47
$γ_{6}$	0.1077	0.48
$γ_{7}$	-0.3133	-1.83
$γ_{8}$	0.2713	1.89
$γ_{9}$	-0.0345	-0.34
$γ_{10}$	-0.1232	-1.84

Estimation Period:
Jan 30, 2003 to Jul 26, 2024

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Volatility Forecasts

Volatility Forecasts