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, July 29th, 2024:8.49% (+0.35%)

Analysis last updated: Friday, July 26, 2024 at 07:18 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2469	5.57
$α$	0.0696	7.49
$β$	0.8912	67.91
$γ_{1}$	0.0110	0.28
$γ_{2}$	0.0101	0.16
$γ_{3}$	-0.0674	-1.47
$γ_{4}$	0.1231	3.50
$γ_{5}$	-0.1356	-4.15
$γ_{6}$	0.0472	1.54
$γ_{7}$	0.0552	2.03
$γ_{8}$	-0.0743	-2.80
$γ_{9}$	0.0796	2.97
$γ_{10}$	-0.0844	-4.16

Estimation Period:
Nov 8, 1991 to Jul 26, 2024

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