V-Lab: Israeli Shekel EGARCH Volatility Analysis

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V-Lab

Israeli Shekel EGARCH Volatility Analysis

Volatility Prediction for Monday, July 29th, 2024:7.60% (+0.59%)

Analysis last updated: Friday, July 26, 2024 at 07:16 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	-0.0164	-11.38
$α$	0.1469	33.46
$β$	0.9824	1138.31
$γ$	0.0187	5.58

Estimation Period:
Nov 8, 1991 to Jul 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts