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

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Israeli Shekel Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, October 14th, 2025:8.82% (-0.25%)

Analysis last updated: Monday, October 13, 2025 at 07:05 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2079	5.48
$α$	0.0685	7.66
$β$	0.8928	69.43
$γ_{1}$	0.0122	0.34
$γ_{2}$	0.0032	0.06
$γ_{3}$	-0.0537	-1.27
$γ_{4}$	0.1130	3.43
$γ_{5}$	-0.1516	-4.93
$γ_{6}$	0.0975	3.01
$γ_{7}$	-0.0023	-0.08
$γ_{8}$	-0.0271	-1.05
$γ_{9}$	0.0356	1.50
$γ_{10}$	-0.0527	-3.09

Estimation Period:
Nov 8, 1991 to Oct 10, 2025

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts