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 Tuesday, March 11th, 2025:4.99% (+2.44%)

Analysis last updated: Monday, March 10, 2025 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.7427	7427240.00
$β$	0.0073	72760.00
$γ$	0.5000	5000000.00
$λ_{1}$	0.2284	59.09
$λ_{2}$	0.1799	5620.72
$λ_{3}$	0.2662	252.59

Estimation Period:
Jan 2, 1990 to Mar 7, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts