V-Lab: Israeli Shekel Spline-GARCH Volatility Analysis

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V-Lab

Israeli Shekel Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, September 18th, 2024:10.27% (+0.12%)

Analysis last updated: Tuesday, September 17, 2024 at 07:17 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2265	5.66
$α$	0.0700	7.45
$β$	0.8889	66.06
$γ_{1}$	0.0012	0.03
$γ_{2}$	0.0303	0.48
$γ_{3}$	-0.0891	-1.96
$γ_{4}$	0.1459	4.25
$γ_{5}$	-0.1588	-4.99
$γ_{6}$	0.0669	2.23
$γ_{7}$	0.0450	1.67
$γ_{8}$	-0.0743	-2.78
$γ_{9}$	0.0886	2.76
$γ_{10}$	-0.1068	-2.15

Estimation Period:
Nov 8, 1991 to Sep 13, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts