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

V-Lab

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V-Lab

South African Rand Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, December 23rd, 2024:12.78% (-0.06%)

Analysis last updated: Friday, December 20, 2024 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6212	6.80
$α$	0.0756	6.69
$β$	0.9033	63.87
$γ_{1}$	0.0162	3.45
$γ_{2}$	-0.0298	-4.38
$γ_{3}$	0.0206	5.36
$γ_{4}$	-0.0099	-4.02

Estimation Period:
Jan 2, 1990 to Dec 20, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts