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

V-Lab

Israeli Shekel Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, September 1st, 2025:9.01% (-0.26%)

Analysis last updated: Friday, August 29, 2025 at 07:12 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2462	5.77
$α$	0.0681	7.59
$β$	0.8928	69.09
$γ_{1}$	0.0154	0.44
$γ_{2}$	0.0004	0.01
$γ_{3}$	-0.0558	-1.32
$γ_{4}$	0.1165	3.55
$γ_{5}$	-0.1543	-5.04
$γ_{6}$	0.0974	3.06
$γ_{7}$	-0.0001	-0.00
$γ_{8}$	-0.0308	-1.21
$γ_{9}$	0.0414	1.76
$γ_{10}$	-0.0583	-3.40

Estimation Period:
Nov 8, 1991 to Aug 29, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts