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{name} Model Equation

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Param	Value	t-stat
mwindow	21
αARCH	0.1721	5.79***
βGARCH	0.7134	18.89***
γleverage	-0.1299	-4.66***
λ₁tau intercept	0.0012	2.27**
λ₂forecast adj.	0.0557	6.68***
λ₃tau persistence	0.9443	112.76***

Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.1721	5.79***
β GARCH Volatility persistence	0.7134	18.89***
γ leverage Additional response to negative shocks	-0.1299	-4.66***
λ₁ tau intercept Baseline long-term coefficient	0.0012	2.27**
λ₂ forecast adj. Forecast performance sensitivity	0.0557	6.68***
λ₃ tau persistence Long-term factor persistence	0.9443	112.76***

V-Lab

South African Rand MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other South African Rand Analyses