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 Monday, July 29th, 2024:6.50% (+0.23%)

Analysis last updated: Friday, July 26, 2024 at 07:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7096	5.99
$α$	0.0619	7.23
$β$	0.9055	74.46
$γ_{1}$	0.0527	1.23
$γ_{2}$	-0.0937	-1.44
$γ_{3}$	0.0676	1.56
$γ_{4}$	-0.0488	-1.15
$γ_{5}$	0.0649	1.47
$γ_{6}$	-0.1514	-4.01
$γ_{7}$	0.2279	6.95
$γ_{8}$	-0.2028	-6.21
$γ_{9}$	0.1786	4.25
$γ_{10}$	-0.2375	-3.68

Estimation Period:
Sep 1, 1993 to Jul 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts