V-Lab: South African Rand Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

South African Rand Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:12.16% (+0.37%)

Analysis last updated: Friday, April 26, 2024 at 07:35 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6339	6.76
$α$	0.0715	6.51
$β$	0.9090	67.01
$γ_{1}$	0.0175	3.35
$γ_{2}$	-0.0318	-4.20
$γ_{3}$	0.0217	5.23
$γ_{4}$	-0.0103	-4.14

Estimation Period:
Jan 2, 1990 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts