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

V-Lab

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V-Lab

Polish Zloty Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, October 11th, 2024:8.05% (-0.13%)

Analysis last updated: Thursday, October 10, 2024 at 07:09 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6813	5.30
$α$	0.0597	7.50
$β$	0.9139	83.77
$γ_{1}$	0.0147	0.42
$γ_{2}$	-0.0243	-0.45
$γ_{3}$	-0.0017	-0.05
$γ_{4}$	0.0592	2.18
$γ_{5}$	-0.1391	-5.36
$γ_{6}$	0.1611	6.14
$γ_{7}$	-0.0988	-3.46
$γ_{8}$	0.0551	1.98
$γ_{9}$	-0.0412	-2.18

Estimation Period:
Sep 1, 1993 to Oct 4, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts