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{name} Model Equation

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Param	Value	t-stat
ωconst	-0.0131	-2.68***
αARCH	0.1403	8.56***
βGARCH	0.9842	318.50***
γleverage	0.0189	1.53

Parameter	Value	t-statistic
ω const Unconditional variance weight	-0.0131	-2.68***
α ARCH Response to squared shocks	0.1403	8.56***
β GARCH Volatility persistence	0.9842	318.50***
γ leverage Additional response to negative shocks	0.0189	1.53

V-Lab

Israeli Shekel EGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Israeli Shekel Analyses