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

V-Lab

|

V-Lab

British Pound Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, December 4th, 2023:7.26% (-0.12%)

Analysis last updated: Sunday, December 3, 2023 at 02:12 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.4226	8.79
$α$	0.0332	5.73
$β$	0.9579	145.27
$γ_{1}$	0.0025	3.41
$γ_{2}$	-0.0030	-3.13

Estimation Period:
Jan 2, 1990 to Dec 1, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts