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, December 23rd, 2024:9.21% (+0.64%)

Analysis last updated: Friday, December 20, 2024 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2628	5.90
$α$	0.0690	7.34
$β$	0.8894	65.22
$γ_{1}$	0.0174	0.47
$γ_{2}$	0.0007	0.01
$γ_{3}$	-0.0625	-1.44
$γ_{4}$	0.1221	3.65
$γ_{5}$	-0.1445	-4.62
$γ_{6}$	0.0661	2.18
$γ_{7}$	0.0366	1.36
$γ_{8}$	-0.0608	-2.43
$γ_{9}$	0.0695	2.84
$γ_{10}$	-0.0793	-4.34

Estimation Period:
Nov 8, 1991 to Dec 20, 2024

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Volatility Forecasts

Volatility Forecasts