V-Lab: South African Rand EGARCH Volatility Analysis

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V-Lab

South African Rand EGARCH Volatility Analysis

Volatility Prediction for Wednesday, October 4th, 2023:12.66% (+2.32%)

Analysis last updated: Tuesday, October 3, 2023 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0082	12.65
$α$	0.1459	27.51
$β$	0.9907	948.99
$γ$	0.0366	14.16

Estimation Period:
Jan 2, 1990 to Sep 29, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts