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 Monday, January 30th, 2023:9.52% (+0.02%)

Analysis last updated: Sunday, January 29, 2023, 01:48 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3398	5.72
$α$	0.0705	7.78
$β$	0.8950	70.94
$γ_{1}$	0.0149	0.42
$γ_{2}$	0.0012	0.02
$γ_{3}$	-0.0551	-1.27
$γ_{4}$	0.1153	3.46
$γ_{5}$	-0.1625	-5.34
$γ_{6}$	0.1232	3.66
$γ_{7}$	-0.0352	-1.08
$γ_{8}$	0.0087	0.32
$γ_{9}$	-0.0223	-1.14

Estimation Period:
Nov 8, 1991 to Jan 28, 2023

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Volatility Forecasts

Volatility Forecasts