V-Lab: Egyptian Pound Spline-GARCH Volatility Analysis

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V-Lab

Egyptian Pound Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, July 29th, 2024:4.87% (-0.14%)

Analysis last updated: Friday, July 26, 2024 at 07:13 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.3981	4.64
$α$	0.1810	5.56
$β$	0.7123	17.40
$γ_{1}$	0.0198	0.14
$γ_{2}$	0.0233	0.09
$γ_{3}$	0.0203	0.09
$γ_{4}$	-0.1587	-0.74
$γ_{5}$	0.1213	0.50
$γ_{6}$	0.1053	0.47
$γ_{7}$	-0.3133	-1.83
$γ_{8}$	0.2657	1.87
$γ_{9}$	-0.0117	-0.11
$γ_{10}$	-0.1861	-0.99

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

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Volatility Forecasts

Volatility Forecasts