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{name} Model Equation

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Param	Value	t-stat
ωconst	0.0022	5.75***
αARCH	0.0707	6.02***
βGARCH	0.9275	144.80***
γleverage	-0.0186	-1.11

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0022	5.75***
α ARCH Response to squared shocks	0.0707	6.02***
β GARCH Volatility persistence	0.9275	144.80***
γ leverage Additional response to negative shocks	-0.0186	-1.11

V-Lab

Israeli Shekel GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Israeli Shekel Analyses