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, December 23rd, 2024:4.33% (-11.13%)

Analysis last updated: Friday, December 20, 2024 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.7455	7455020.00
$β$	0.0045	44980.00
$γ$	0.5000	5000000.00
$λ_{1}$	0.2373	2372680.00
$λ_{2}$	0.1616	1615720.00
$λ_{3}$	0.2669	2668840.00

Estimation Period:
Jan 2, 1990 to Dec 20, 2024

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts