V-Lab: Malaysian Ringgit Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Malaysian Ringgit Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, June 2nd, 2023:5.31% (-0.25%)

Analysis last updated: Thursday, June 1, 2023 at 07:29 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6351	3.49
$α$	0.0857	7.96
$β$	0.9015	82.95
$γ_{1}$	-0.0374	-3.32
$γ_{2}$	0.0426	2.52
$γ_{3}$	-0.0021	-0.23

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts