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 Friday, October 4th, 2024:0.00% (-10.69%)

Analysis last updated: Thursday, October 3, 2024 at 07:09 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	31
$α$	0.7500	7499900.00
$β$	0.0000	100.00
$γ$	0.5000	5000000.00
$λ_{1}$	0.0390	25.12
$λ_{2}$	1.0000	70.38
$λ_{3}$	0.0000	0.00

Estimation Period:
Jan 2, 1990 to Sep 27, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts