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

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V-Lab

Hungarian Forint Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, June 2nd, 2023:9.99% (-0.15%)

Analysis last updated: Thursday, June 1, 2023 at 07:15 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.4420	3.41
$α$	0.0302	5.82
$β$	0.9599	132.43
$γ_{1}$	0.0885	3.68
$γ_{2}$	-0.1384	-3.97
$γ_{3}$	0.0885	3.67
$γ_{4}$	-0.0745	-3.07
$γ_{5}$	0.0480	2.23
$γ_{6}$	-0.0003	-0.01
$γ_{7}$	-0.0198	-1.15

Estimation Period:
Jun 15, 1993 to May 27, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts