V-Lab: South African Rand APARCH Volatility Analysis

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V-Lab

South African Rand APARCH Volatility Analysis

Volatility Prediction for Monday, July 29th, 2024:10.83% (-0.22%)

Analysis last updated: Friday, July 26, 2024 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0012	12.55
$α$	0.0527	32.68
$β$	0.9423	487.98
$γ$	-0.1520	-13.84
$δ$	2.1407	25.48

Estimation Period:
Jan 2, 1990 to Jul 26, 2024

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts