V-Lab: Israeli Shekel Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Israeli Shekel Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, December 1st, 2023:9.05% (-0.33%)

Analysis last updated: Thursday, November 30, 2023 at 07:17 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2480	5.47
$α$	0.0703	7.84
$β$	0.8934	70.32
$γ_{1}$	0.0103	0.32
$γ_{2}$	0.0022	0.04
$γ_{3}$	-0.0420	-1.07
$γ_{4}$	0.0942	3.08
$γ_{5}$	-0.1491	-5.68
$γ_{6}$	0.1358	4.52
$γ_{7}$	-0.0692	-2.23
$γ_{8}$	0.0491	1.81
$γ_{9}$	-0.0547	-2.87

Estimation Period:
Nov 8, 1991 to Nov 24, 2023

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Volatility Forecasts

Volatility Forecasts