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

V-Lab

Israeli Shekel Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, June 2nd, 2025:10.09% (-0.36%)

Analysis last updated: Friday, May 30, 2025 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2561	5.78
$α$	0.0688	7.53
$β$	0.8919	68.28
$γ_{1}$	0.0152	0.42
$γ_{2}$	0.0018	0.03
$γ_{3}$	-0.0588	-1.36
$γ_{4}$	0.1192	3.57
$γ_{5}$	-0.1519	-4.88
$γ_{6}$	0.0872	2.75
$γ_{7}$	0.0133	0.46
$γ_{8}$	-0.0431	-1.71
$γ_{9}$	0.0533	2.24
$γ_{10}$	-0.0670	-3.85

Estimation Period:
Nov 8, 1991 to May 30, 2025

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Volatility Forecasts