V-Lab: Hungarian Forint Zero Slope Spline-GARCH Volatility Analysis

V-Lab

Hungarian Forint Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, June 19th, 2025:8.72% (+0.20%)

Analysis last updated: Wednesday, June 18, 2025 at 07:05 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3540	3.36
$α$	0.0292	5.95
$β$	0.9594	132.35
$γ_{1}$	0.0717	3.50
$γ_{2}$	-0.1137	-3.92
$γ_{3}$	0.0787	4.36
$γ_{4}$	-0.0794	-4.86
$γ_{5}$	0.0702	4.44
$γ_{6}$	-0.0283	-2.14
$γ_{7}$	-0.0032	-0.33

Estimation Period:
Jun 15, 1993 to Jun 13, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts