V-Lab: Israeli Shekel GARCH Volatility Analysis

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V-Lab

Israeli Shekel GARCH Volatility Analysis

Volatility Prediction for Monday, December 4th, 2023:10.29% (-0.42%)

Analysis last updated: Sunday, December 3, 2023 at 01:37 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0026	23.01
$α$	0.0680	37.17
$β$	0.9181	477.68

Estimation Period:
Nov 8, 1991 to Dec 1, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts