V-Lab: South African Rand GJR-GARCH Volatility Analysis

V-Lab

South African Rand GJR-GARCH Volatility Analysis

Volatility Prediction for Monday, June 2nd, 2025:8.36% (+0.07%)

Analysis last updated: Friday, May 30, 2025 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0017	9.37
$α$	0.0795	25.90
$β$	0.9387	517.75
$γ$	-0.0364	-9.47

Estimation Period:
Jan 2, 1990 to May 30, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts