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 Monday, April 22nd, 2024:12.24% (+2.13%)

Analysis last updated: Friday, April 19, 2024 at 07:21 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.1460	21.67
$β$	0.7738	59.25
$γ$	-0.1186	-15.25
$λ_{1}$	0.0010	2.69
$λ_{2}$	0.0487	5.00
$λ_{3}$	0.9513	97.34

Estimation Period:
Jan 2, 1990 to Apr 19, 2024

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Volatility Forecasts