V-Lab: Croatian Kuna Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Croatian Kuna Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, June 2nd, 2023:5.88% (-0.07%)

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
$ω$	1.3878	8.12
$α$	0.0243	7.27
$β$	0.9724	260.07
$γ_{1}$	0.0006	3.27

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts