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 Wednesday, February 5th, 2025:12.96% (-0.91%)

Analysis last updated: Tuesday, February 4, 2025 at 07:09 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.1649	23.67
$β$	0.7315	53.32
$γ$	-0.1228	-15.52
$λ_{1}$	0.0011	2.80
$λ_{2}$	0.0526	5.34
$λ_{3}$	0.9474	95.98

Estimation Period:
Jan 2, 1990 to Jan 31, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts