V-Lab: Malaysian Ringgit GJR-GARCH Volatility Analysis

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V-Lab

Malaysian Ringgit GJR-GARCH Volatility Analysis

Volatility Prediction for Thursday, October 5th, 2023:3.53% (-0.07%)

Analysis last updated: Wednesday, October 4, 2023 at 07:30 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0008	17.87
$α$	0.0879	22.48
$β$	0.9170	433.35
$γ$	-0.0154	-2.53

Estimation Period:
Dec 30, 2005 to Sep 29, 2023

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Volatility Forecasts

Volatility Forecasts