V-Lab: Croatian Kuna GJR-GARCH Volatility Analysis

V-Lab

|

V-Lab

Croatian Kuna GJR-GARCH Volatility Analysis

Volatility Prediction for Friday, June 2nd, 2023:6.24% (-0.06%)

Analysis last updated: Thursday, June 1, 2023 at 07:12 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0004	8.20
$α$	0.0280	17.24
$β$	0.9763	1341.11
$γ$	-0.0110	-4.89

Estimation Period:
Jan 9, 1996 to May 27, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts