V-Lab: Israeli Shekel EGARCH Volatility Analysis

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V-Lab

Israeli Shekel EGARCH Volatility Analysis

Volatility Prediction for Monday, September 25th, 2023:6.22% (-0.12%)

Analysis last updated: Friday, September 22, 2023 at 07:22 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	-0.0173	-11.21
$α$	0.1489	33.01
$β$	0.9819	1088.54
$γ$	0.0178	5.12

Estimation Period:
Nov 8, 1991 to Sep 22, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts