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, December 23rd, 2024:10.14% (-0.11%)

Analysis last updated: Friday, December 20, 2024 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3670	3.39
$α$	0.0296	5.93
$β$	0.9589	130.71
$γ_{1}$	0.0756	3.60
$γ_{2}$	-0.1201	-4.03
$γ_{3}$	0.0832	4.47
$γ_{4}$	-0.0819	-4.78
$γ_{5}$	0.0682	4.24
$γ_{6}$	-0.0230	-1.66
$γ_{7}$	-0.0072	-0.67

Estimation Period:
Jun 15, 1993 to Dec 20, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts