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 Tuesday, June 9th, 2026
1 Day
15.11%
decreased by 0.46%
1 Week
15.13%
decreased by 0.44%
1 Month
15.25%
decreased by 0.32%
Analysis last updated: Monday, June 8, 2026 at 07:14 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
| param | t-stat | |
|---|---|---|
| 0.0017 | 9.79 | |
| 0.0790 | 26.47 | |
| 0.9388 | 529.79 | |
| -0.0355 | -9.34 |
Estimation Period:
Jan 2, 1990 to Jun 5, 2026
Jan 2, 1990 to Jun 5, 2026
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