US Dollar to South African Rand GJR-GARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Wednesday, June 17th, 2026
1 Day
13.53%
decreased by 0.31%
1 Week
13.56%
decreased by 0.28%
1 Month
13.69%
decreased by 0.15%
Analysis last updated: Tuesday, June 16, 2026 at 08:25 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
| param | t-stat | |
|---|---|---|
| 0.0017 | 9.76 | |
| 0.0789 | 26.47 | |
| 0.9388 | 530.12 | |
| -0.0355 | -9.35 |
Estimation Period:
Jan 2, 1990 to Jun 12, 2026
Jan 2, 1990 to Jun 12, 2026
Other GJR-GARCH Analyses on Currencies