V-Lab: Israeli Shekel GARCH Volatility Analysis

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V-Lab

Israeli Shekel GARCH Volatility Analysis

Volatility Prediction for Friday, September 20th, 2024:9.67% (-0.30%)

Analysis last updated: Thursday, September 19, 2024 at 07:17 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0024	22.96
$α$	0.0666	38.00
$β$	0.9207	504.51

Estimation Period:
Nov 8, 1991 to Sep 13, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts