V-Lab: Hungarian Forint Spline-GARCH Volatility Analysis

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V-Lab

Hungarian Forint Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, January 30th, 2023:13.78% (-0.08%)

Analysis last updated: Sunday, January 29, 2023, 01:44 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.4025	3.63
$α$	0.0299	5.30
$β$	0.9561	112.52
$γ_{1}$	0.1057	3.51
$γ_{2}$	-0.1420	-3.11
$γ_{3}$	0.0312	0.89
$γ_{4}$	0.0431	1.33
$γ_{5}$	-0.1061	-4.06
$γ_{6}$	0.1216	5.25
$γ_{7}$	-0.0793	-3.25
$γ_{8}$	0.0963	2.62

Estimation Period:
Jun 15, 1993 to Jan 28, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts