V-Lab: Israeli Shekel AGARCH Volatility Analysis

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V-Lab

Israeli Shekel AGARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:10.58% (+0.27%)

Analysis last updated: Friday, April 26, 2024 at 07:17 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0024	20.46
$α$	0.0659	37.36
$β$	0.9200	495.17
$γ$	-0.0557	-7.80

Estimation Period:
Nov 8, 1991 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts