V-Lab: South African Rand MF2-GARCH Volatility Analysis

V-Lab

South African Rand MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, June 2nd, 2025:8.43% (+0.04%)

Analysis last updated: Friday, May 30, 2025 at 07:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.1680	24.46
$β$	0.7311	54.80
$γ$	-0.1264	-16.25
$λ_{1}$	0.0011	2.86
$λ_{2}$	0.0519	5.54
$λ_{3}$	0.9481	101.37

Estimation Period:
Jan 2, 1990 to May 30, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts