V-Lab: South African Rand APARCH Volatility Analysis

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V-Lab

South African Rand APARCH Volatility Analysis

Volatility Prediction for Monday, September 25th, 2023:11.35% (-0.30%)

Analysis last updated: Friday, September 22, 2023 at 07:16 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0012	12.65
$α$	0.0539	32.43
$β$	0.9410	476.45
$γ$	-0.1522	-13.88
$δ$	2.1433	25.45

Estimation Period:
Jan 2, 1990 to Sep 22, 2023

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts