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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2228	5.56***
α ARCH Response to squared shocks	0.0671	8.02***
β GARCH Volatility persistence	0.8974	75.35***

γ₁	0.0109	0.32
γ₂	0.0028	0.05
γ₃	-0.0458	-1.12
γ₄	0.0994	3.13***
γ₅	-0.1475	-5.19***
γ₆	0.1169	3.65***
γ₇	-0.0360	-1.13
γ₈	0.0087	0.31
γ₉	-0.0052	-0.21
γ₁₀	-0.0192	-1.15

V-Lab

Israeli Shekel Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Israeli Shekel Analyses