V-Lab
Hungarian Forint Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Monday, September 28th, 2026
1 Day
9.75%
decreased by 0.14%
1 Week
9.75%
decreased by 0.14%
1 Month
9.77%
decreased by 0.12%
Analysis last updated: Friday, September 25, 2026 at 09:12 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jun 15, 1993 to Sep 25, 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 65 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 | 1.3600 | 3.25*** |
| αARCH | 0.0310 | 6.43*** |
| βGARCH | 0.9584 | 139.67*** |
Spline Coefficients
K=7
| γ1 | 0.0626 | 3.12*** |
| γ2 | -0.0979 | -3.40*** |
| γ3 | 0.0635 | 3.46*** |
| γ4 | -0.0638 | -3.84*** |
| γ5 | 0.0639 | 3.64*** |
| γ6 | -0.0351 | -2.44** |
| γ7 | 0.0055 | 0.60 |
0.989
Persistence65d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.3600 | 3.25*** |
α ARCH Response to squared shocks | 0.0310 | 6.43*** |
β GARCH Volatility persistence | 0.9584 | 139.67*** |
Spline Coefficients
K=7
| γ1 | 0.0626 | 3.12*** |
| γ2 | -0.0979 | -3.40*** |
| γ3 | 0.0635 | 3.46*** |
| γ4 | -0.0638 | -3.84*** |
| γ5 | 0.0639 | 3.64*** |
| γ6 | -0.0351 | -2.44** |
| γ7 | 0.0055 | 0.60 |
Persistence:
0.989
Half-life:
65 days
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