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, September 20th, 2024:7.36% (-0.07%)

Analysis last updated: Thursday, September 19, 2024 at 07:16 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3807	3.40
$α$	0.0299	5.94
$β$	0.9588	130.37
$γ_{1}$	0.0781	3.64
$γ_{2}$	-0.1240	-4.07
$γ_{3}$	0.0855	4.44
$γ_{4}$	-0.0828	-4.61
$γ_{5}$	0.0670	4.04
$γ_{6}$	-0.0214	-1.47
$γ_{7}$	-0.0073	-0.65

Estimation Period:
Jun 15, 1993 to Sep 13, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts