V-Lab: British Pound GJR-GARCH Volatility Analysis

V-Lab

|

V-Lab

British Pound GJR-GARCH Volatility Analysis

Volatility Prediction for Friday, June 2nd, 2023:6.14% (-0.03%)

Analysis last updated: Thursday, June 1, 2023 at 07:01 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0013	15.14
$α$	0.0252	10.08
$β$	0.9628	689.70
$γ$	0.0128	3.17

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts