V-Lab: Israeli Shekel AGARCH Volatility Analysis

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V-Lab

Israeli Shekel AGARCH Volatility Analysis

Volatility Prediction for Wednesday, October 4th, 2023:10.75% (+5.24%)

Analysis last updated: Tuesday, October 3, 2023 at 07:17 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0025	20.99
$α$	0.0668	36.49
$β$	0.9178	471.15
$γ$	-0.0520	-7.24

Estimation Period:
Nov 8, 1991 to Sep 29, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts