V-Lab: Kuwaiti Dinar Spline-GARCH Volatility Analysis

V-Lab

|

V-Lab

Kuwaiti Dinar Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, October 4th, 2023:2.81% (+0.01%)

Analysis last updated: Tuesday, October 3, 2023 at 07:17 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1257	4.34
$α$	0.1385	9.14
$β$	0.7840	40.39
$γ_{1}$	-0.0283	-1.02
$γ_{2}$	0.1290	2.74
$γ_{3}$	-0.2409	-4.59
$γ_{4}$	0.2490	4.05
$γ_{5}$	-0.1788	-3.37
$γ_{6}$	0.0796	1.94
$γ_{7}$	0.0279	0.80
$γ_{8}$	-0.0708	-1.92
$γ_{9}$	0.1440	2.83

Estimation Period:
Jun 28, 1991 to Sep 29, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts