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, March 24th, 2025:1.95% (-1.93%)

Analysis last updated: Friday, March 21, 2025 at 07:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.7427	7,427,240.00
$β$	0.0073	72,760.00
$γ$	0.5000	5,000,000.00
$λ_{1}$	0.2267	64.35
$λ_{2}$	0.1834	71.37
$λ_{3}$	0.2659	23.16

Estimation Period:
Jan 2, 1990 to Mar 21, 2025

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Volatility Forecasts