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 Wednesday, March 19th, 2025:8.81% (-0.02%)

Analysis last updated: Tuesday, March 18, 2025 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2364	5.86
$α$	0.0680	7.29
$β$	0.8899	65.08
$γ_{1}$	0.0130	0.36
$γ_{2}$	0.0062	0.11
$γ_{3}$	-0.0638	-1.50
$γ_{4}$	0.1242	3.78
$γ_{5}$	-0.1525	-4.95
$γ_{6}$	0.0807	2.64
$γ_{7}$	0.0214	0.78
$γ_{8}$	-0.0492	-2.00
$γ_{9}$	0.0592	2.49
$γ_{10}$	-0.0714	-4.08

Estimation Period:
Nov 8, 1991 to Mar 14, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts