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, June 2nd, 2023:13.09% (-0.40%)

Analysis last updated: Thursday, June 1, 2023 at 07:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6522	6.87
$α$	0.0738	6.35
$β$	0.9063	63.91
$γ_{1}$	0.0199	3.56
$γ_{2}$	-0.0358	-4.38
$γ_{3}$	0.0239	5.28
$γ_{4}$	-0.0114	-4.12

Estimation Period:
Jan 2, 1990 to May 27, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts