V-Lab: British Pound AGARCH Volatility Analysis

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V-Lab

British Pound AGARCH Volatility Analysis

Volatility Prediction for Friday, June 2nd, 2023:6.42% (+0.30%)

Analysis last updated: Thursday, June 1, 2023 at 07:02 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0013	11.82
$α$	0.0329	24.26
$β$	0.9612	681.24
$γ$	0.0725	5.87

Estimation Period:
Jan 2, 1990 to May 27, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts