V-Lab: Israeli Shekel Spline-GARCH Volatility Analysis

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V-Lab

Israeli Shekel Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, February 18th, 2025:7.52% (-0.23%)

Analysis last updated: Monday, February 17, 2025 at 07:03 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2197	5.81
$α$	0.0687	7.29
$β$	0.8888	64.98
$γ_{1}$	0.0030	0.08
$γ_{2}$	0.0265	0.45
$γ_{3}$	-0.0848	-1.96
$γ_{4}$	0.1442	4.39
$γ_{5}$	-0.1670	-5.47
$γ_{6}$	0.0860	2.87
$γ_{7}$	0.0266	0.98
$γ_{8}$	-0.0646	-2.56
$γ_{9}$	0.0906	3.15
$γ_{10}$	-0.1415	-3.09

Estimation Period:
Nov 8, 1991 to Feb 14, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts