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 Wednesday, February 5th, 2025:9.74% (+0.31%)

Analysis last updated: Tuesday, February 4, 2025 at 07:03 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2539	5.79
$α$	0.0684	7.40
$β$	0.8915	67.35
$γ_{1}$	0.0153	0.42
$γ_{2}$	0.0025	0.04
$γ_{3}$	-0.0613	-1.40
$γ_{4}$	0.1214	3.60
$γ_{5}$	-0.1473	-4.67
$γ_{6}$	0.0730	2.35
$γ_{7}$	0.0295	1.07
$γ_{8}$	-0.0564	-2.24
$γ_{9}$	0.0659	2.69
$γ_{10}$	-0.0764	-4.19

Estimation Period:
Nov 8, 1991 to Jan 31, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts