V-Lab: British Pound Spline-GARCH Volatility Analysis

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V-Lab

British Pound Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, October 5th, 2023:6.78% (-0.08%)

Analysis last updated: Wednesday, October 4, 2023 at 07:02 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2725	8.76
$α$	0.0331	5.79
$β$	0.9589	150.01
$γ_{1}$	0.0011	3.04

Estimation Period:
Jan 2, 1990 to Sep 29, 2023

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Volatility Forecasts