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

V-Lab

South African Rand MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, May 12th, 2025:8.29% (-0.18%)

Analysis last updated: Friday, May 9, 2025 at 07:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.1681	24.43
$β$	0.7305	54.61
$γ$	-0.1260	-16.17
$λ_{1}$	0.0011	2.86
$λ_{2}$	0.0520	5.54
$λ_{3}$	0.9480	101.04

Estimation Period:
Jan 2, 1990 to May 9, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts