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

V-Lab

Hungarian Forint Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, June 2nd, 2025:9.35% (+0.19%)

Analysis last updated: Friday, May 30, 2025 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3544	3.37
$α$	0.0292	5.94
$β$	0.9594	132.26
$γ_{1}$	0.0720	3.51
$γ_{2}$	-0.1142	-3.93
$γ_{3}$	0.0790	4.38
$γ_{4}$	-0.0797	-4.86
$γ_{5}$	0.0700	4.43
$γ_{6}$	-0.0276	-2.08
$γ_{7}$	-0.0039	-0.40

Estimation Period:
Jun 15, 1993 to May 30, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts