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

V-Lab

Egyptian Pound Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, June 2nd, 2025:4.36% (-0.14%)

Analysis last updated: Friday, May 30, 2025 at 07:06 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.2716	5.33
$α$	0.1810	5.67
$β$	0.7102	17.80
$γ_{1}$	-0.0034	-0.06
$γ_{2}$	0.0777	0.73
$γ_{3}$	-0.0809	-0.71
$γ_{4}$	-0.0666	-0.66
$γ_{5}$	0.2300	2.68
$γ_{6}$	-0.3080	-2.85
$γ_{7}$	0.2413	2.33
$γ_{8}$	-0.1030	-1.35
$γ_{9}$	-0.0076	-0.16

Estimation Period:
Jan 30, 2003 to May 30, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts