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 Wednesday, July 30th, 2025:10.22% (+0.71%)

Analysis last updated: Tuesday, July 29, 2025 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6176	6.59
$α$	0.0760	6.85
$β$	0.9038	65.66
$γ_{1}$	0.0147	3.24
$γ_{2}$	-0.0273	-4.16
$γ_{3}$	0.0187	5.06
$γ_{4}$	-0.0085	-3.63

Estimation Period:
Jan 2, 1990 to Jul 25, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts