V-Lab
Hungarian Forint Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Wednesday, September 9th, 2026
1 Day
10.12%
decreased by 0.13%
1 Week
10.12%
decreased by 0.13%
1 Month
10.12%
decreased by 0.13%
Analysis last updated: Tuesday, September 8, 2026 at 07:06 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jun 15, 1993 to Sep 4, 2026Model Insight
This model fits a time-varying baseline (a spline), so volatility mean-reverts toward a slowly-shifting long-run level rather than a constant. Short-run deviations decay with a half-life of 64 trading days.
τ
Zero Slope Spline-GARCH Model
Tap to view equation
Time-varying baseline: volatility reverts to a slowly-shifting spline trend
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.3577 | 3.25*** |
| αARCH | 0.0311 | 6.43*** |
| βGARCH | 0.9582 | 138.85*** |
Spline Coefficients
K=7
| 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 |
0.989
Persistence64d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| 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*** |
Spline Coefficients
K=7
| 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 |
Persistence:
0.989
Half-life:
64 days
Other Hungarian Forint Analyses
Other Zero Slope Spline-GARCH Analyses on Currencies