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

V-Lab

Hungarian Forint Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 12th, 2025:9.74% (+0.32%)

Analysis last updated: Friday, May 9, 2025 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3555	3.37
$α$	0.0292	5.94
$β$	0.9594	132.07
$γ_{1}$	0.0724	3.52
$γ_{2}$	-0.1150	-3.94
$γ_{3}$	0.0796	4.39
$γ_{4}$	-0.0800	-4.86
$γ_{5}$	0.0698	4.41
$γ_{6}$	-0.0268	-2.02
$γ_{7}$	-0.0046	-0.46

Estimation Period:
Jun 15, 1993 to May 9, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts