V-Lab: British Pound EGARCH Volatility Analysis

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V-Lab

British Pound EGARCH Volatility Analysis

Volatility Prediction for Friday, December 1st, 2023:6.70% (-0.14%)

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
$ω$	-0.0041	-6.44
$α$	0.0829	24.35
$β$	0.9914	1884.87
$γ$	-0.0142	-5.44

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts