V-Lab: Israeli Shekel Spline-GARCH Volatility Analysis

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V-Lab

Israeli Shekel Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, January 30th, 2023:11.98% (0.00%)

Analysis last updated: Sunday, January 29, 2023, 01:45 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2707	5.94
$α$	0.0717	7.02
$β$	0.8845	60.12
$γ_{1}$	0.0079	0.24
$γ_{2}$	0.0141	0.27
$γ_{3}$	-0.0668	-1.70
$γ_{4}$	0.1261	4.18
$γ_{5}$	-0.1702	-6.15
$γ_{6}$	0.1241	4.05
$γ_{7}$	-0.0232	-0.77
$γ_{8}$	-0.0320	-1.16
$γ_{9}$	0.1165	3.04

Estimation Period:
Nov 8, 1991 to Jan 28, 2023

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts