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

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V-Lab

Hungarian Forint Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, January 30th, 2023:11.19% (-0.08%)

Analysis last updated: Sunday, January 29, 2023, 01:46 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.4285	3.48
$α$	0.0296	5.50
$β$	0.9591	123.33
$γ_{1}$	0.1010	3.11
$γ_{2}$	-0.1333	-2.66
$γ_{3}$	0.0252	0.64
$γ_{4}$	0.0441	1.21
$γ_{5}$	-0.0999	-3.39
$γ_{6}$	0.1062	4.14
$γ_{7}$	-0.0454	-1.84
$γ_{8}$	-0.0032	-0.16

Estimation Period:
Jun 15, 1993 to Jan 28, 2023

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Volatility Forecasts

Volatility Forecasts