V-Lab: Polish Zloty Spline-GARCH Volatility Analysis

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V-Lab

Polish Zloty Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, January 30th, 2023:25.84% (-1.09%)

Analysis last updated: Friday, January 27, 2023, 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7118	6.56
$α$	0.0647	6.73
$β$	0.8945	62.85
$γ_{1}$	0.0749	1.62
$γ_{2}$	-0.1344	-1.93
$γ_{3}$	0.1102	2.43
$γ_{4}$	-0.1079	-2.66
$γ_{5}$	0.1466	4.07
$γ_{6}$	-0.2353	-8.12
$γ_{7}$	0.2637	9.11
$γ_{8}$	-0.1679	-4.68
$γ_{9}$	0.0645	1.59
$γ_{10}$	0.0915	1.25

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

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