V-Lab: Malaysian Ringgit GJR-GARCH Volatility Analysis

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V-Lab

Malaysian Ringgit GJR-GARCH Volatility Analysis

Volatility Prediction for Monday, January 30th, 2023:4.86% (+0.10%)

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
$ω$	0.0008	17.24
$α$	0.0843	20.88
$β$	0.9212	448.27
$γ$	-0.0167	-2.78

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

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Volatility Forecasts

Volatility Forecasts