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 Friday, September 20th, 2024:6.44% (-0.08%)

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
$ω$	1.4051	3.69
$α$	0.0297	5.52
$β$	0.9557	115.57
$γ_{1}$	0.1094	3.10
$γ_{2}$	-0.1341	-2.44
$γ_{3}$	-0.0025	-0.06
$γ_{4}$	0.0914	2.58
$γ_{5}$	-0.1486	-5.34
$γ_{6}$	0.1367	5.15
$γ_{7}$	-0.0764	-2.57
$γ_{8}$	0.0724	2.18
$γ_{9}$	-0.1369	-2.99

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts