V-Lab
South African Rand EGARCH Volatility Analysis
Volatility prediction for Thursday, September 17th, 2026
1 Day
8.72%
decreased by 0.11%
1 Week
8.91%
increased by 0.08%
1 Month
9.66%
increased by 0.83%
Analysis last updated: Thursday, September 17, 2026 at 03:45 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Sep 11, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 62% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets.
σ
EGARCH Model
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Inverse leverage: Positive returns increase volatility 62% more than negative returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0082 | 3.03*** |
| αARCH | 0.1526 | 7.06*** |
| βGARCH | 0.9893 | 228.73*** |
| γleverage | 0.0361 | 3.31*** |
0.989
Persistence64d
Half-lifeσ
EGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0082 | 3.03*** |
α ARCH Response to squared shocks | 0.1526 | 7.06*** |
β GARCH Volatility persistence | 0.9893 | 228.73*** |
γ leverage Additional response to negative shocks | 0.0361 | 3.31*** |
Persistence:
0.989
Half-life:
64 days
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