V-Lab: South African Rand MF2-GARCH Volatility Analysis

V-Lab

South African Rand MF2-GARCH Volatility Analysis

Volatility Prediction for Wednesday, July 30th, 2025:9.95% (+1.77%)

Analysis last updated: Tuesday, July 29, 2025 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.1663	24.37
$β$	0.7351	55.64
$γ$	-0.1255	-16.24
$λ_{1}$	0.0011	2.86
$λ_{2}$	0.0507	5.59
$λ_{3}$	0.9493	104.70

Estimation Period:
Jan 2, 1990 to Jul 25, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts