South African Rand GJR-GARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Monday, May 11th, 2026
1 Day
13.96%
decreased by 0.35%
1 Week
13.99%
decreased by 0.32%
1 Month
14.11%
decreased by 0.20%
Analysis last updated: Friday, May 8, 2026 at 07:03 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
| param | t-stat | |
|---|---|---|
| 0.0017 | 9.82 | |
| 0.0792 | 26.51 | |
| 0.9385 | 526.68 | |
| -0.0354 | -9.31 |
Estimation Period:
Jan 2, 1990 to May 8, 2026
Jan 2, 1990 to May 8, 2026
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