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 Friday, April 26th, 2024:9.58% (-0.13%)

Analysis last updated: Thursday, April 25, 2024 at 07:15 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3849	3.42
$α$	0.0302	5.91
$β$	0.9583	128.89
$γ_{1}$	0.0812	3.71
$γ_{2}$	-0.1286	-4.13
$γ_{3}$	0.0875	4.39
$γ_{4}$	-0.0816	-4.30
$γ_{5}$	0.0611	3.55
$γ_{6}$	-0.0113	-0.72
$γ_{7}$	-0.0161	-1.26

Estimation Period:
Jun 15, 1993 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts