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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1962	5.42***
α ARCH Response to squared shocks	0.0672	7.98***
β GARCH Volatility persistence	0.8969	74.59***

γ₁	0.0065	0.19
γ₂	0.0095	0.17
γ₃	-0.0495	-1.19
γ₄	0.1017	3.17***
γ₅	-0.1486	-5.17***
γ₆	0.1167	3.62***
γ₇	-0.0348	-1.09
γ₈	0.0064	0.23
γ₉	-0.0015	-0.06
γ₁₀	-0.0223	-1.33

V-Lab

Israeli Shekel Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Israeli Shekel Analyses