V-Lab: British Pound Spline-GARCH Volatility Analysis

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V-Lab

British Pound Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, June 2nd, 2023:6.50% (-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
$ω$	1.2923	8.84
$α$	0.0335	5.77
$β$	0.9582	146.70
$γ_{1}$	0.0012	3.25

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

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Volatility Forecasts

Volatility Forecasts