V-Lab: US Dollar to Swiss Franc MF2-GARCH Volatility Analysis

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V-Lab

US Dollar to Swiss Franc MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, May 20th, 2024:1.30% (-8.96%)

Analysis last updated: Friday, May 17, 2024 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	36
$α$	1.0000	9999900.00
$β$	0.0016	15670.00
$γ$	-0.0031	-31140.00
$λ_{1}$	0.1191	28.21
$λ_{2}$	0.2980	29.22
$λ_{3}$	0.0000	0.00

Estimation Period:
Jan 2, 1990 to May 17, 2024

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts