V-Lab: Israeli Shekel AGARCH Volatility Analysis

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V-Lab

Israeli Shekel AGARCH Volatility Analysis

Volatility Prediction for Friday, April 19th, 2024:13.15% (+3.69%)

Analysis last updated: Thursday, April 18, 2024 at 07:17 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0024	20.54
$α$	0.0659	37.27
$β$	0.9199	493.79
$γ$	-0.0553	-7.75

Estimation Period:
Nov 8, 1991 to Apr 12, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts