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

V-Lab

South African Rand MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, June 23rd, 2025:9.01% (-0.55%)

Analysis last updated: Friday, June 20, 2025 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.1673	24.37
$β$	0.7317	54.80
$γ$	-0.1258	-16.17
$λ_{1}$	0.0011	2.85
$λ_{2}$	0.0517	5.53
$λ_{3}$	0.9483	101.52

Estimation Period:
Jan 2, 1990 to Jun 20, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts