V-Lab: British Pound Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

British Pound Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, June 2nd, 2023:6.11% (-0.01%)

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
$ω$	1.4254	8.70
$α$	0.0339	5.71
$β$	0.9572	142.55
$γ_{1}$	0.0025	3.29
$γ_{2}$	-0.0030	-3.00

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts