V-Lab: Israeli Shekel AGARCH Volatility Analysis

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V-Lab

Israeli Shekel AGARCH Volatility Analysis

Volatility Prediction for Tuesday, January 14th, 2025:8.52% (+1.74%)

Analysis last updated: Monday, January 13, 2025 at 07:03 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0022	20.15
$α$	0.0636	37.63
$β$	0.9234	520.81
$γ$	-0.0562	-7.80

Estimation Period:
Nov 8, 1991 to Jan 10, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts