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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.1721	25.22***
β GARCH Volatility persistence	0.7148	52.63***
γ leverage Additional response to negative shocks	-0.1299	-16.66***
λ₁ tau intercept Baseline long-term coefficient	0.0012	2.80***
λ₂ forecast adj. Forecast performance sensitivity	0.0546	5.36***
λ₃ tau persistence Long-term factor persistence	0.9454	92.89***

V-Lab

South African Rand MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other South African Rand Analyses