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

V-Lab

Israeli Shekel Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 21st, 2025:9.79% (-0.33%)

Analysis last updated: Friday, April 18, 2025 at 07:09 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1601	5.31
$α$	0.0677	7.37
$β$	0.8913	66.76
$γ_{1}$	0.0045	0.12
$γ_{2}$	0.0179	0.30
$γ_{3}$	-0.0701	-1.64
$γ_{4}$	0.1302	3.96
$γ_{5}$	-0.1570	-5.07
$γ_{6}$	0.0831	2.69
$γ_{7}$	0.0213	0.76
$γ_{8}$	-0.0492	-1.97
$γ_{9}$	0.0576	2.42
$γ_{10}$	-0.0697	-4.00

Estimation Period:
Nov 8, 1991 to Apr 18, 2025

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