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

V-Lab

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V-Lab

Hungarian Forint Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, July 29th, 2024:8.25% (+0.01%)

Analysis last updated: Friday, July 26, 2024 at 07:17 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3794	3.41
$α$	0.0299	5.92
$β$	0.9586	129.63
$γ_{1}$	0.0791	3.67
$γ_{2}$	-0.1255	-4.10
$γ_{3}$	0.0863	4.45
$γ_{4}$	-0.0825	-4.54
$γ_{5}$	0.0651	3.90
$γ_{6}$	-0.0178	-1.20
$γ_{7}$	-0.0106	-0.90

Estimation Period:
Jun 15, 1993 to Jul 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts