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

V-Lab

South African Rand GJR-GARCH Volatility Analysis

Volatility Prediction for Monday, May 12th, 2025:10.27% (-0.30%)

Analysis last updated: Friday, May 9, 2025 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0017	9.39
$α$	0.0794	25.84
$β$	0.9387	516.33
$γ$	-0.0361	-9.40

Estimation Period:
Jan 2, 1990 to May 9, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts