V-Lab: Egyptian Pound Spline-GARCH Volatility Analysis

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V-Lab

Egyptian Pound Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, January 30th, 2023:12.03% (-0.22%)

Analysis last updated: Sunday, January 29, 2023, 01:48 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.4734	3.75
$α$	0.1892	5.26
$β$	0.7114	17.69
$γ_{1}$	0.0327	0.16
$γ_{2}$	-0.0087	-0.02
$γ_{3}$	0.0706	0.26
$γ_{4}$	-0.1769	-0.93
$γ_{5}$	0.0257	0.18
$γ_{6}$	0.2557	2.27
$γ_{7}$	-0.3403	-2.40
$γ_{8}$	0.1561	1.10
$γ_{9}$	-0.0491	-0.31
$γ_{10}$	0.4562	2.14

Estimation Period:
Jan 30, 2003 to Jan 28, 2023

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