V-Lab: Turkish New Lira Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Turkish New Lira Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 17th, 2024:4.00% (+0.32%)

Analysis last updated: Thursday, May 16, 2024 at 07:29 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1825	3.76
$α$	0.0799	2.88
$β$	0.9199	33.64
$γ_{1}$	-0.0283	-0.26
$γ_{2}$	-0.0294	-0.24
$γ_{3}$	0.1404	3.31
$γ_{4}$	-0.1706	-4.28
$γ_{5}$	0.1306	5.35

Estimation Period:
Jul 31, 2001 to May 10, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts