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

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V-Lab

South African Rand MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, January 30th, 2023:14.12% (+1.23%)

Analysis last updated: Friday, January 27, 2023, 07:14 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	51
$α$	1.0000	9999900.00
$β$	0.0144	144220.00
$γ$	-0.0288	-288240.00
$λ_{1}$	0.0102	11.36
$λ_{2}$	0.9423	713.36
$λ_{3}$	0.0000	0.00

Estimation Period:
Jan 2, 1990 to Jan 27, 2023

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