V-Lab: New Zealand Dollar Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

New Zealand Dollar Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 20th, 2024:8.13% (-0.10%)

Analysis last updated: Friday, May 17, 2024 at 07:16 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6803	6.53
$α$	0.0294	5.16
$β$	0.9630	141.31
$γ_{1}$	-0.0021	-2.25
$γ_{2}$	0.0025	2.10

Estimation Period:
Jan 2, 1990 to May 17, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts