V-Lab: Polish Zloty Spline-GARCH Volatility Analysis

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V-Lab

Polish Zloty Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, September 25th, 2023:10.62% (-0.25%)

Analysis last updated: Friday, September 22, 2023 at 07:12 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7076	6.44
$α$	0.0652	6.99
$β$	0.8953	64.69
$γ_{1}$	0.0656	1.50
$γ_{2}$	-0.1177	-1.78
$γ_{3}$	0.0941	2.16
$γ_{4}$	-0.0874	-2.16
$γ_{5}$	0.1194	3.09
$γ_{6}$	-0.2097	-6.66
$γ_{7}$	0.2615	9.41
$γ_{8}$	-0.2001	-6.43
$γ_{9}$	0.1382	3.87
$γ_{10}$	-0.0890	-2.08

Estimation Period:
Sep 1, 1993 to Sep 22, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts