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 25th, 2026
1 Day
17.29%
decreased by 0.45%
1 Week
17.32%
decreased by 0.42%
1 Month
17.42%
decreased by 0.32%
Analysis last updated: Sunday, May 24, 2026 at 02:55 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
| param | t-stat | |
|---|---|---|
| 0.0017 | 9.80 | |
| 0.0792 | 26.51 | |
| 0.9386 | 526.98 | |
| -0.0354 | -9.32 |
Estimation Period:
Jan 2, 1990 to May 22, 2026
Jan 2, 1990 to May 22, 2026
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