V-Lab: Israeli Shekel Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Israeli Shekel Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:10.40% (-0.14%)

Analysis last updated: Friday, April 26, 2024 at 07:19 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2330	5.47
$α$	0.0695	7.48
$β$	0.8911	67.53
$γ_{1}$	0.0091	0.22
$γ_{2}$	0.0134	0.21
$γ_{3}$	-0.0697	-1.50
$γ_{4}$	0.1225	3.44
$γ_{5}$	-0.1282	-3.88
$γ_{6}$	0.0337	1.11
$γ_{7}$	0.0673	2.47
$γ_{8}$	-0.0815	-2.96
$γ_{9}$	0.0852	3.01
$γ_{10}$	-0.0885	-4.10

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

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