V-Lab: Croatian Kuna MF2-GARCH Volatility Analysis

V-Lab

|

V-Lab

Croatian Kuna MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, December 4th, 2023:0.00% (-6.42%)

Analysis last updated: Sunday, December 3, 2023 at 02:13 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	46
$α$	1.0000	9999900.00
$β$	0.0600	600350.00
$γ$	-0.1201	-1200500.00
$λ_{1}$	0.0167	6.74
$λ_{2}$	0.7599	6.86
$λ_{3}$	0.0000	0.00

Estimation Period:
Jan 9, 1996 to Dec 1, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts