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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2357	5.79***
α ARCH Response to squared shocks	0.0669	7.86***
β GARCH Volatility persistence	0.8957	72.92***

γ₁	0.0117	0.36
γ₂	0.0062	0.12
γ₃	-0.0584	-1.45
γ₄	0.1184	3.82***
γ₅	-0.1690	-6.05***
γ₆	0.1366	4.32***
γ₇	-0.0496	-1.57
γ₈	0.0124	0.45
γ₉	0.0084	0.31
γ₁₀	-0.0743	-1.84*

V-Lab

Israeli Shekel Spline-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Israeli Shekel Analyses