South African Rand EGARCH Volatility Analysis
Volatility prediction for Tuesday, July 21st, 2026
1 Day
11.10%
increased by 0.05%
1 Week
11.28%
increased by 0.23%
1 Month
11.99%
increased by 0.94%
Analysis last updated: Monday, July 20, 2026 at 07:11 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Jul 17, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 61% 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
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0083 | 12.24*** |
α ARCH Response to squared shocks | 0.1534 | 28.23*** |
β GARCH Volatility persistence | 0.9892 | 911.72*** |
γ leverage Additional response to negative shocks | 0.0360 | 13.17*** |
Persistence:
0.989
Half-life:
64 days
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