V-Lab: Israeli Shekel GJR-GARCH Volatility Analysis

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V-Lab

Israeli Shekel GJR-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 8th, 2024:8.93% (-0.16%)

Analysis last updated: Tuesday, May 7, 2024 at 07:18 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0025	22.92
$α$	0.0751	23.34
$β$	0.9203	501.53
$γ$	-0.0186	-3.98

Estimation Period:
Nov 8, 1991 to May 3, 2024

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Volatility Forecasts