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{name} Model Equation

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Spline Coefficients

Value at Risk (VaR) estimates the maximum loss at a given confidence level. Expected Shortfall (ES) estimates the average loss beyond VaR.

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.3577	3.25***
α ARCH Response to squared shocks	0.0311	6.43***
β GARCH Volatility persistence	0.9582	138.85***

γ₁	0.0628	3.12***
γ₂	-0.0983	-3.41***
γ₃	0.0642	3.51***
γ₄	-0.0648	-3.92***
γ₅	0.0646	3.71***
γ₆	-0.0349	-2.45**
γ₇	0.0050	0.54

V-Lab

Hungarian Forint Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Hungarian Forint Analyses