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, December 4th, 2024:6.99% (-0.24%)

Analysis last updated: Tuesday, December 3, 2024 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6693	5.71
$α$	0.0614	7.36
$β$	0.9067	75.44
$γ_{1}$	0.0163	0.51
$γ_{2}$	-0.0250	-0.51
$γ_{3}$	-0.0054	-0.16
$γ_{4}$	0.0654	2.66
$γ_{5}$	-0.1483	-6.43
$γ_{6}$	0.1764	7.56
$γ_{7}$	-0.1248	-4.69
$γ_{8}$	0.1053	3.22
$γ_{9}$	-0.1633	-3.21

Estimation Period:
Sep 1, 1993 to Nov 29, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts