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

V-Lab

South African Rand MF2-GARCH Volatility Analysis

Volatility Prediction for Tuesday, July 1st, 2025:9.02% (-0.10%)

Analysis last updated: Monday, June 30, 2025 at 07:12 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.1668	24.42
$β$	0.7342	55.47
$γ$	-0.1259	-16.26
$λ_{1}$	0.0011	2.87
$λ_{2}$	0.0509	5.58
$λ_{3}$	0.9491	103.89

Estimation Period:
Jan 2, 1990 to Jun 27, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts