V-Lab: Israeli Shekel GJR-GARCH Volatility Analysis

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V-Lab

Israeli Shekel GJR-GARCH Volatility Analysis

Volatility Prediction for Monday, December 23rd, 2024:7.94% (+0.82%)

Analysis last updated: Friday, December 20, 2024 at 07:08 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0023	22.90
$α$	0.0727	23.37
$β$	0.9237	529.34
$γ$	-0.0183	-4.07

Estimation Period:
Nov 8, 1991 to Dec 20, 2024

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Volatility Forecasts