V-Lab: South African Rand GARCH Volatility Analysis

V-Lab

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V-Lab

South African Rand GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 12th, 2021:12.30% (-0.54%)

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0036	6.24
$α$	0.1030	17.69
$β$	0.8970	153.07

Estimation Period:
Jan 2, 1990 to May 7, 2021

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts