V-Lab: Kuwaiti Dinar Spline-GARCH Volatility Analysis

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V-Lab

Kuwaiti Dinar Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, January 30th, 2023:2.11% (-0.09%)

Analysis last updated: Friday, January 27, 2023, 07:09 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0983	4.27
$α$	0.1331	8.72
$β$	0.7941	41.37
$γ_{1}$	-0.0398	-1.36
$γ_{2}$	0.1531	3.10
$γ_{3}$	-0.2617	-5.07
$γ_{4}$	0.2518	4.42
$γ_{5}$	-0.1525	-2.89
$γ_{6}$	0.0300	0.64
$γ_{7}$	0.0802	2.05
$γ_{8}$	-0.1096	-2.89
$γ_{9}$	0.1381	2.55

Estimation Period:
Jun 28, 1991 to Jan 27, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts