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

V-Lab

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V-Lab

South African Rand Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:11.45% (+0.40%)

Analysis last updated: Friday, April 26, 2024 at 07:34 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6382	6.92
$α$	0.0717	6.46
$β$	0.9082	65.78
$γ_{1}$	0.0183	3.53
$γ_{2}$	-0.0337	-4.42
$γ_{3}$	0.0248	5.26
$γ_{4}$	-0.0179	-2.94

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

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Volatility Forecasts

Volatility Forecasts