V-Lab: Malaysian Ringgit GJR-GARCH Volatility Analysis

V-Lab

|

V-Lab

Malaysian Ringgit GJR-GARCH Volatility Analysis

Volatility Prediction for Friday, June 2nd, 2023:5.77% (-0.21%)

Analysis last updated: Thursday, June 1, 2023 at 07:28 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0008	17.40
$α$	0.0852	21.63
$β$	0.9211	456.92
$γ$	-0.0180	-3.06

Estimation Period:
Dec 30, 2005 to May 27, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts