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 Monday, October 28th, 2024:7.75% (-0.04%)

Analysis last updated: Friday, October 25, 2024 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6750	5.07
$α$	0.0595	7.55
$β$	0.9150	85.47
$γ_{1}$	0.0137	0.39
$γ_{2}$	-0.0238	-0.44
$γ_{3}$	-0.0004	-0.01
$γ_{4}$	0.0578	2.10
$γ_{5}$	-0.1381	-5.30
$γ_{6}$	0.1607	6.11
$γ_{7}$	-0.0984	-3.43
$γ_{8}$	0.0530	1.90
$γ_{9}$	-0.0383	-2.03

Estimation Period:
Sep 1, 1993 to Oct 25, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts