V-Lab: Polish Zloty Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Polish Zloty Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, September 18th, 2024:5.52% (+0.01%)

Analysis last updated: Tuesday, September 17, 2024 at 07:05 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7111	5.89
$α$	0.0610	7.28
$β$	0.9078	76.78
$γ_{1}$	0.0502	1.17
$γ_{2}$	-0.0889	-1.37
$γ_{3}$	0.0619	1.42
$γ_{4}$	-0.0405	-0.95
$γ_{5}$	0.0534	1.18
$γ_{6}$	-0.1387	-3.55
$γ_{7}$	0.2189	6.43
$γ_{8}$	-0.1989	-5.99
$γ_{9}$	0.1791	4.21
$γ_{10}$	-0.2537	-3.70

Estimation Period:
Sep 1, 1993 to Sep 13, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts