V-Lab: Israeli Shekel Spline-GARCH Volatility Analysis

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V-Lab

Israeli Shekel Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, September 25th, 2023:8.21% (-0.10%)

Analysis last updated: Friday, September 22, 2023 at 07:23 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.4179	6.46
$α$	0.0704	7.58
$β$	0.8951	71.23
$γ_{1}$	0.0364	2.28
$γ_{2}$	-0.0626	-2.63
$γ_{3}$	0.0667	4.24
$γ_{4}$	-0.0891	-6.22
$γ_{5}$	0.0801	5.42
$γ_{6}$	-0.0422	-2.76
$γ_{7}$	0.0521	2.50

Estimation Period:
Nov 8, 1991 to Sep 22, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts