V-Lab: South African Rand MF2-GARCH Volatility Analysis

V-Lab

| |

V-Lab

South African Rand MF2-GARCH Volatility Analysis

Volatility Prediction for Thursday, April 25th, 2024:10.33% (-0.40%)

Analysis last updated: Wednesday, April 24, 2024 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.1460	21.67
$β$	0.7738	59.25
$γ$	-0.1186	-15.25
$λ_{1}$	0.0010	2.69
$λ_{2}$	0.0487	5.00
$λ_{3}$	0.9513	97.34

Estimation Period:
Jan 2, 1990 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts