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Param	Value	t-stat
ωconst	2.3078	5.45***
αARCH	0.1902	5.20***
βGARCH	0.7078	16.91***

γ₁	0.0096	0.13
γ₂	0.0500	0.35
γ₃	-0.0344	-0.24
γ₄	-0.1298	-1.11
γ₅	0.2590	1.86*
γ₆	-0.2375	-1.43
γ₇	0.0459	0.38
γ₈	0.1701	1.94*
γ₉	-0.2828	-2.84***
γ₁₀	0.3595	2.72***

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.3078	5.45***
α ARCH Response to squared shocks	0.1902	5.20***
β GARCH Volatility persistence	0.7078	16.91***

γ₁	0.0096	0.13
γ₂	0.0500	0.35
γ₃	-0.0344	-0.24
γ₄	-0.1298	-1.11
γ₅	0.2590	1.86*
γ₆	-0.2375	-1.43
γ₇	0.0459	0.38
γ₈	0.1701	1.94*
γ₉	-0.2828	-2.84***
γ₁₀	0.3595	2.72***

V-Lab

Egyptian Pound Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Egyptian Pound Analyses