V-Lab: South African Rand Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

South African Rand Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, November 18th, 2025:8.16% (-0.15%)

Analysis last updated: Monday, November 17, 2025 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6587	6.22
$α$	0.0774	6.51
$β$	0.8991	60.73
$γ_{1}$	0.0280	1.70
$γ_{2}$	-0.0234	-1.00
$γ_{3}$	-0.0230	-1.54
$γ_{4}$	0.0170	1.19
$γ_{5}$	0.0180	1.48
$γ_{6}$	-0.0334	-3.17
$γ_{7}$	0.0228	2.74

Estimation Period:
Jan 2, 1990 to Nov 14, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts