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, December 23rd, 2024:4.79% (-0.08%)

Analysis last updated: Friday, December 20, 2024 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.4110	3.82
$α$	0.1900	5.17
$β$	0.7100	17.26
$γ_{1}$	0.0189	0.31
$γ_{2}$	0.0436	0.54
$γ_{3}$	-0.1359	-2.90
$γ_{4}$	0.1729	2.89
$γ_{5}$	-0.1931	-2.58
$γ_{6}$	0.1729	2.65
$γ_{7}$	-0.1202	-3.26

Estimation Period:
Jan 30, 2003 to Dec 20, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts