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 Wednesday, December 4th, 2024:13.04% (-0.54%)

Analysis last updated: Tuesday, December 3, 2024 at 07:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.1634	23.53
$β$	0.7361	54.16
$γ$	-0.1226	-15.55
$λ_{1}$	0.0011	2.81
$λ_{2}$	0.0518	5.34
$λ_{3}$	0.9482	97.55

Estimation Period:
Jan 2, 1990 to Nov 29, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts