V-Lab: Israeli Shekel Spline-GARCH Volatility Analysis

V-Lab

Israeli Shekel Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 19th, 2025:7.50% (-0.23%)

Analysis last updated: Friday, May 16, 2025 at 07:06 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2207	5.85
$α$	0.0685	7.31
$β$	0.8892	65.21
$γ_{1}$	0.0040	0.11
$γ_{2}$	0.0242	0.42
$γ_{3}$	-0.0820	-1.92
$γ_{4}$	0.1423	4.39
$γ_{5}$	-0.1706	-5.66
$γ_{6}$	0.0969	3.19
$γ_{7}$	0.0142	0.51
$γ_{8}$	-0.0551	-2.20
$γ_{9}$	0.0843	3.09
$γ_{10}$	-0.1485	-3.53

Estimation Period:
Nov 8, 1991 to May 16, 2025

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Volatility Forecasts

Volatility Forecasts