V-Lab: Croatian Kuna MF2-GARCH Volatility Analysis

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V-Lab

Croatian Kuna MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, June 2nd, 2023:2.13% (+0.23%)

Analysis last updated: Thursday, June 1, 2023 at 07:13 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	41
$α$	0.7352	7352170.00
$β$	0.0148	147830.00
$γ$	0.5000	5000000.00
$λ_{1}$	7.0050	26.21
$λ_{2}$	0.3000	25.60
$λ_{3}$	0.0000	0.00

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

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts