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 Monday, December 4th, 2023:5.45% (-0.28%)

Analysis last updated: Sunday, December 3, 2023 at 02:12 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.5950	3.73
$α$	0.0900	6.89
$β$	0.8768	55.17
$γ_{1}$	0.2147	1.60
$γ_{2}$	-0.4443	-2.23
$γ_{3}$	0.3233	2.33
$γ_{4}$	-0.2013	-1.54
$γ_{5}$	0.3299	2.32
$γ_{6}$	-0.5671	-3.45
$γ_{7}$	0.6280	4.14
$γ_{8}$	-0.4236	-3.66
$γ_{9}$	0.2696	2.18
$γ_{10}$	-0.2004	-1.77

Estimation Period:
Dec 30, 2005 to Dec 1, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts