V-Lab: Israeli Shekel Spline-GARCH Volatility Analysis

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V-Lab

Israeli Shekel Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, July 29th, 2024:8.19% (+0.36%)

Analysis last updated: Friday, July 26, 2024 at 07:18 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2321	5.64
$α$	0.0699	7.47
$β$	0.8895	66.66
$γ_{1}$	0.0009	0.02
$γ_{2}$	0.0312	0.49
$γ_{3}$	-0.0902	-1.96
$γ_{4}$	0.1459	4.20
$γ_{5}$	-0.1553	-4.83
$γ_{6}$	0.0599	2.00
$γ_{7}$	0.0514	1.90
$γ_{8}$	-0.0779	-2.85
$γ_{9}$	0.0903	2.75
$γ_{10}$	-0.1090	-2.22

Estimation Period:
Nov 8, 1991 to Jul 26, 2024

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Volatility Forecasts

Volatility Forecasts