V-Lab: Hungarian Forint Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Hungarian Forint Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, July 29th, 2024:7.60% (+0.02%)

Analysis last updated: Friday, July 26, 2024 at 07:16 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3986	3.63
$α$	0.0298	5.56
$β$	0.9559	116.64
$γ_{1}$	0.1087	2.98
$γ_{2}$	-0.1318	-2.32
$γ_{3}$	-0.0062	-0.14
$γ_{4}$	0.0953	2.63
$γ_{5}$	-0.1506	-5.24
$γ_{6}$	0.1355	4.87
$γ_{7}$	-0.0731	-2.34
$γ_{8}$	0.0666	1.95
$γ_{9}$	-0.1170	-2.55

Estimation Period:
Jun 15, 1993 to Jul 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts