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 Monday, October 20th, 2025:10.19% (-0.25%)

Analysis last updated: Sunday, October 19, 2025 at 01:38 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6185	6.45
$α$	0.0754	6.89
$β$	0.9053	67.29
$γ_{1}$	0.0141	3.10
$γ_{2}$	-0.0262	-3.99
$γ_{3}$	0.0179	4.84
$γ_{4}$	-0.0079	-3.40

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

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Volatility Forecasts

Volatility Forecasts