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, December 1st, 2023:9.66% (-0.07%)

Analysis last updated: Thursday, November 30, 2023 at 07:15 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.4049	3.42
$α$	0.0302	5.91
$β$	0.9588	130.62
$γ_{1}$	0.0846	3.73
$γ_{2}$	-0.1335	-4.11
$γ_{3}$	0.0888	4.15
$γ_{4}$	-0.0794	-3.80
$γ_{5}$	0.0552	2.95
$γ_{6}$	-0.0044	-0.25
$γ_{7}$	-0.0203	-1.37

Estimation Period:
Jun 15, 1993 to Nov 24, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts