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

V-Lab

Israeli Shekel Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 12th, 2025:9.15% (-0.24%)

Analysis last updated: Friday, May 9, 2025 at 07:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2147	5.66
$α$	0.0677	7.35
$β$	0.8911	66.30
$γ_{1}$	0.0125	0.34
$γ_{2}$	0.0055	0.09
$γ_{3}$	-0.0606	-1.42
$γ_{4}$	0.1207	3.65
$γ_{5}$	-0.1517	-4.91
$γ_{6}$	0.0842	2.71
$γ_{7}$	0.0168	0.60
$γ_{8}$	-0.0454	-1.82
$γ_{9}$	0.0552	2.33
$γ_{10}$	-0.0683	-3.94

Estimation Period:
Nov 8, 1991 to May 9, 2025

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