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

V-Lab

Hungarian Forint Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 21st, 2025:10.26% (-0.15%)

Analysis last updated: Friday, April 18, 2025 at 07:09 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3571	3.37
$α$	0.0293	5.94
$β$	0.9593	131.86
$γ_{1}$	0.0729	3.53
$γ_{2}$	-0.1157	-3.96
$γ_{3}$	0.0801	4.41
$γ_{4}$	-0.0803	-4.85
$γ_{5}$	0.0696	4.39
$γ_{6}$	-0.0262	-1.96
$γ_{7}$	-0.0051	-0.52

Estimation Period:
Jun 15, 1993 to Apr 18, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts