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 22nd, 2024:10.74% (-0.36%)

Analysis last updated: Friday, April 19, 2024 at 07:25 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2682	5.59
$α$	0.0699	7.56
$β$	0.8919	68.93
$γ_{1}$	0.0124	0.30
$γ_{2}$	0.0091	0.14
$γ_{3}$	-0.0681	-1.45
$γ_{4}$	0.1213	3.36
$γ_{5}$	-0.1264	-3.76
$γ_{6}$	0.0319	1.03
$γ_{7}$	0.0681	2.46
$γ_{8}$	-0.0820	-2.93
$γ_{9}$	0.0855	2.97
$γ_{10}$	-0.0882	-4.02

Estimation Period:
Nov 8, 1991 to Apr 19, 2024

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