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 Friday, December 1st, 2023:12.93% (-0.07%)

Analysis last updated: Thursday, November 30, 2023 at 07:09 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6408	6.84
$α$	0.0725	6.42
$β$	0.9076	65.31
$γ_{1}$	0.0187	3.48
$γ_{2}$	-0.0338	-4.32
$γ_{3}$	0.0230	5.34
$γ_{4}$	-0.0111	-4.25

Estimation Period:
Jan 2, 1990 to Nov 24, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts