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

V-Lab

Israeli Shekel Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, July 4th, 2025:10.03% (-0.35%)

Analysis last updated: Thursday, July 3, 2025 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2067	5.60
$α$	0.0681	7.42
$β$	0.8914	66.94
$γ_{1}$	0.0120	0.33
$γ_{2}$	0.0053	0.09
$γ_{3}$	-0.0587	-1.39
$γ_{4}$	0.1189	3.62
$γ_{5}$	-0.1529	-4.99
$γ_{6}$	0.0900	2.87
$γ_{7}$	0.0095	0.33
$γ_{8}$	-0.0395	-1.58
$γ_{9}$	0.0514	2.18
$γ_{10}$	-0.0671	-3.91

Estimation Period:
Nov 8, 1991 to Jun 27, 2025

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Volatility Forecasts

Volatility Forecasts