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 Friday, June 2nd, 2023:4.87% (+0.33%)

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
$ω$	2.4812	3.78
$α$	0.1792	5.25
$β$	0.7300	18.14
$γ_{1}$	0.0297	0.15
$γ_{2}$	-0.0018	-0.01
$γ_{3}$	0.0561	0.20
$γ_{4}$	-0.1631	-0.79
$γ_{5}$	0.0315	0.17
$γ_{6}$	0.2436	1.75
$γ_{7}$	-0.3451	-2.52
$γ_{8}$	0.1264	0.97
$γ_{9}$	0.1689	1.34
$γ_{10}$	-0.2421	-2.24

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

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts