V-Lab: British Pound APARCH Volatility Analysis

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V-Lab

British Pound APARCH Volatility Analysis

Volatility Prediction for Friday, December 1st, 2023:6.98% (-0.11%)

Analysis last updated: Thursday, November 30, 2023 at 07:05 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0016	13.68
$α$	0.0337	22.70
$β$	0.9633	693.51
$γ$	0.1110	5.55
$δ$	1.8151	33.15

Estimation Period:
Jan 2, 1990 to Nov 24, 2023

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts