V-Lab: Malaysian Ringgit Spline-GARCH Volatility Analysis

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V-Lab

Malaysian Ringgit Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, September 25th, 2023:2.56% (-0.06%)

Analysis last updated: Friday, September 22, 2023 at 07:14 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7305	4.43
$α$	0.0888	7.82
$β$	0.8982	77.77
$γ_{1}$	-0.0197	-4.78
$γ_{2}$	0.0326	3.81

Estimation Period:
Dec 30, 2005 to Sep 22, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts