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

V-Lab

Israeli Shekel Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, July 14th, 2025:10.00% (-0.33%)

Analysis last updated: Friday, July 11, 2025 at 07:12 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2132	5.60
$α$	0.0685	7.49
$β$	0.8915	67.54
$γ_{1}$	0.0115	0.32
$γ_{2}$	0.0059	0.10
$γ_{3}$	-0.0585	-1.37
$γ_{4}$	0.1183	3.58
$γ_{5}$	-0.1535	-4.98
$γ_{6}$	0.0928	2.93
$γ_{7}$	0.0061	0.21
$γ_{8}$	-0.0370	-1.46
$γ_{9}$	0.0493	2.08
$γ_{10}$	-0.0655	-3.78

Estimation Period:
Nov 8, 1991 to Jul 11, 2025

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