V-Lab: Polish Zloty Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Polish Zloty Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, June 2nd, 2023:10.02% (-0.19%)

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

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7255	6.94
$α$	0.0681	7.02
$β$	0.8901	61.50
$γ_{1}$	0.0550	1.27
$γ_{2}$	-0.0937	-1.41
$γ_{3}$	0.0702	1.57
$γ_{4}$	-0.0701	-1.72
$γ_{5}$	0.1105	2.94
$γ_{6}$	-0.2083	-6.97
$γ_{7}$	0.2601	9.42
$γ_{8}$	-0.1964	-6.02
$γ_{9}$	0.1398	3.89
$γ_{10}$	-0.1026	-3.57

Estimation Period:
Sep 1, 1993 to May 27, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts