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 Thursday, December 11th, 2025:7.82% (-0.16%)

Analysis last updated: Wednesday, December 10, 2025 at 07:13 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6620	6.18
$α$	0.0774	6.50
$β$	0.8995	61.05
$γ_{1}$	0.0284	1.72
$γ_{2}$	-0.0244	-1.04
$γ_{3}$	-0.0217	-1.45
$γ_{4}$	0.0160	1.12
$γ_{5}$	0.0185	1.53
$γ_{6}$	-0.0342	-3.27
$γ_{7}$	0.0239	2.90

Estimation Period:
Jan 2, 1990 to Dec 5, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts