V-Lab: South African Rand APARCH Volatility Analysis

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V-Lab

South African Rand APARCH Volatility Analysis

Volatility Prediction for Thursday, December 12th, 2024:15.28% (-0.45%)

Analysis last updated: Wednesday, December 11, 2024 at 07:09 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0014	13.02
$α$	0.0568	31.07
$β$	0.9393	449.41
$γ$	-0.1427	-12.68
$δ$	2.1159	27.69

Estimation Period:
Jan 2, 1990 to Dec 6, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts