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

V-Lab

South African Rand MF2-GARCH Volatility Analysis

Volatility Prediction for Wednesday, September 17th, 2025:6.42% (-0.16%)

Analysis last updated: Tuesday, September 16, 2025 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	51
$α$	1.0000	9,999,900.00
$β$	0.0206	205,990.00
$γ$	-0.0412	-411,770.00
$λ_{1}$	0.0279	6.99
$λ_{2}$	0.9176	79.25
$λ_{3}$	0.0000	0.00

Estimation Period:
Jan 2, 1990 to Sep 12, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts