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

V-Lab

South African Rand Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 21st, 2025:16.35% (-0.63%)

Analysis last updated: Friday, April 18, 2025 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6206	6.68
$α$	0.0764	6.80
$β$	0.9030	64.61
$γ_{1}$	0.0154	3.37
$γ_{2}$	-0.0286	-4.30
$γ_{3}$	0.0198	5.27
$γ_{4}$	-0.0093	-3.91

Estimation Period:
Jan 2, 1990 to Apr 18, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts