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, April 6th, 2026
1 Day
15.47%
decreased by 0.47%
1 Week
15.50%
decreased by 0.44%
1 Month
15.61%
decreased by 0.33%
Analysis last updated: Friday, April 3, 2026 at 08:57 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
| param | t-stat | |
|---|---|---|
| 0.0018 | 9.90 | |
| 0.0794 | 26.49 | |
| 0.9382 | 523.55 | |
| -0.0351 | -9.18 |
Estimation Period:
Jan 2, 1990 to Apr 3, 2026
Jan 2, 1990 to Apr 3, 2026
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