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{name} Model Equation

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Param	Value	t-stat
ωconst	0.0021	5.75***
αARCH	0.0706	6.03***
βGARCH	0.9278	145.77***
γleverage	-0.0188	-1.13

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0021	5.75***
α ARCH Response to squared shocks	0.0706	6.03***
β GARCH Volatility persistence	0.9278	145.77***
γ leverage Additional response to negative shocks	-0.0188	-1.13

V-Lab

Israeli Shekel GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Israeli Shekel Analyses