V-Lab
South African Rand AGARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Monday, October 5th, 2026
1 Day
14.11%
1 Week
14.17%
1 Month
14.37%
Analysis last updated: Friday, October 2, 2026 at 08:40 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Oct 2, 2026Model Insight
Estimated persistence of 1.002 is at or above 1 (non-stationary): volatility shocks do not decay and the long-run variance is undefined, so long-horizon forecasts should be treated with caution.
Asymmetry: positive returns raise volatility more
AGARCH Model
Tap to view equation
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0008 | 1.00 |
| αARCH | 0.0644 | 8.49*** |
| βGARCH | 0.9371 | 131.15*** |
| γleverage | -0.1186 | -2.62*** |
1.002
Persistence-
Half-lifeAGARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0008 | 1.00 |
α ARCH Response to squared shocks | 0.0644 | 8.49*** |
β GARCH Volatility persistence | 0.9371 | 131.15*** |
γ leverage Additional response to negative shocks | -0.1186 | -2.62*** |
Persistence:
1.002
Half-life:
-
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