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

V-Lab

South African Rand GJR-GARCH Volatility Analysis

Volatility Prediction for Friday, April 25th, 2025:13.42% (-0.21%)

Analysis last updated: Thursday, April 24, 2025 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0017	9.40
$α$	0.0792	25.81
$β$	0.9388	516.37
$γ$	-0.0360	-9.37

Estimation Period:
Jan 2, 1990 to Apr 18, 2025

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Volatility Forecasts

Volatility Forecasts