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{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.1729	25.29***
β GARCH Volatility persistence	0.7124	52.21***
γ leverage Additional response to negative shocks	-0.1304	-16.66***
λ₁ tau intercept Baseline long-term coefficient	0.0013	2.80***
λ₂ forecast adj. Forecast performance sensitivity	0.0558	5.32***
λ₃ tau persistence Long-term factor persistence	0.9442	90.22***

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US Dollar to South African Rand MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other US Dollar to South African Rand Analyses