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

V-Lab

South African Rand GJR-GARCH Volatility Analysis

Volatility Prediction for Monday, October 6th, 2025:6.65% (+0.22%)

Analysis last updated: Friday, October 3, 2025 at 07:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0016	9.18
$α$	0.0790	25.89
$β$	0.9394	524.22
$γ$	-0.0368	-9.71

Estimation Period:
Jan 2, 1990 to Oct 3, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts