V-Lab: Hungarian Forint Spline-GARCH Volatility Analysis

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V-Lab

Hungarian Forint Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, October 4th, 2023:11.59% (+0.11%)

Analysis last updated: Tuesday, October 3, 2023 at 07:15 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.4122	3.51
$α$	0.0307	5.83
$β$	0.9574	124.48
$γ_{1}$	0.0890	4.00
$γ_{2}$	-0.1411	-4.44
$γ_{3}$	0.0954	4.52
$γ_{4}$	-0.0859	-4.13
$γ_{5}$	0.0633	3.35
$γ_{6}$	-0.0205	-1.03
$γ_{7}$	0.0237	0.86

Estimation Period:
Jun 15, 1993 to Sep 29, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts