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 Wednesday, February 5th, 2025:9.03% (+0.01%)

Analysis last updated: Tuesday, February 4, 2025 at 07:02 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3653	3.38
$α$	0.0294	5.93
$β$	0.9591	131.41
$γ_{1}$	0.0747	3.58
$γ_{2}$	-0.1187	-4.01
$γ_{3}$	0.0823	4.45
$γ_{4}$	-0.0817	-4.82
$γ_{5}$	0.0694	4.33
$γ_{6}$	-0.0255	-1.87
$γ_{7}$	-0.0048	-0.46

Estimation Period:
Jun 15, 1993 to Jan 31, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts