V-Lab: Egyptian Pound Spline-GARCH Volatility Analysis

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V-Lab

Egyptian Pound Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, September 25th, 2023:3.93% (-0.06%)

Analysis last updated: Friday, September 22, 2023 at 07:20 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.5146	4.02
$α$	0.1782	5.48
$β$	0.7287	18.60
$γ_{1}$	0.0331	0.18
$γ_{2}$	-0.0037	-0.01
$γ_{3}$	0.0527	0.20
$γ_{4}$	-0.1709	-0.80
$γ_{5}$	0.0619	0.30
$γ_{6}$	0.2149	1.27
$γ_{7}$	-0.3618	-2.52
$γ_{8}$	0.1916	1.42
$γ_{9}$	0.1036	0.71
$γ_{10}$	-0.2434	-1.08

Estimation Period:
Jan 30, 2003 to Sep 22, 2023

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Volatility Forecasts

Volatility Forecasts