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, May 12th, 2025:10.42% (-0.25%)

Analysis last updated: Sunday, May 11, 2025 at 03:08 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6177	6.70
$α$	0.0763	6.81
$β$	0.9028	64.56
$γ_{1}$	0.0153	3.35
$γ_{2}$	-0.0283	-4.29
$γ_{3}$	0.0195	5.24
$γ_{4}$	-0.0091	-3.84

Estimation Period:
Jan 2, 1990 to May 9, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts