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 Friday, April 19th, 2024:10.98% (+1.23%)

Analysis last updated: Thursday, April 18, 2024 at 07:17 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2512	5.49
$α$	0.0699	7.57
$β$	0.8920	69.11
$γ_{1}$	0.0086	0.21
$γ_{2}$	0.0145	0.22
$γ_{3}$	-0.0707	-1.50
$γ_{4}$	0.1226	3.39
$γ_{5}$	-0.1265	-3.76
$γ_{6}$	0.0311	1.01
$γ_{7}$	0.0689	2.49
$γ_{8}$	-0.0822	-2.92
$γ_{9}$	0.0851	2.94
$γ_{10}$	-0.0874	-3.96

Estimation Period:
Nov 8, 1991 to Apr 12, 2024

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Volatility Forecasts

Volatility Forecasts