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

V-Lab

|

V-Lab

Israeli Shekel Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, June 2nd, 2023:7.31% (+0.48%)

Analysis last updated: Thursday, June 1, 2023 at 07:17 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2979	5.56
$α$	0.0698	7.90
$β$	0.8960	73.11
$γ_{1}$	0.0121	0.35
$γ_{2}$	0.0029	0.05
$γ_{3}$	-0.0507	-1.20
$γ_{4}$	0.1079	3.32
$γ_{5}$	-0.1586	-5.45
$γ_{6}$	0.1303	3.95
$γ_{7}$	-0.0509	-1.55
$γ_{8}$	0.0263	0.94
$γ_{9}$	-0.0360	-1.81

Estimation Period:
Nov 8, 1991 to May 27, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts