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

V-Lab

Israeli Shekel Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, September 18th, 2025:8.39% (+0.57%)

Analysis last updated: Wednesday, September 17, 2025 at 07:02 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2265	5.66
$α$	0.0681	7.60
$β$	0.8928	69.16
$γ_{1}$	0.0123	0.35
$γ_{2}$	0.0047	0.08
$γ_{3}$	-0.0573	-1.35
$γ_{4}$	0.1166	3.55
$γ_{5}$	-0.1537	-5.03
$γ_{6}$	0.0967	3.03
$γ_{7}$	0.0005	0.02
$γ_{8}$	-0.0304	-1.19
$γ_{9}$	0.0396	1.68
$γ_{10}$	-0.0561	-3.29

Estimation Period:
Nov 8, 1991 to Sep 12, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts