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 Wednesday, February 5th, 2025:13.14% (+0.18%)

Analysis last updated: Tuesday, February 4, 2025 at 07:09 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6198	6.76
$α$	0.0756	6.71
$β$	0.9035	64.17
$γ_{1}$	0.0159	3.41
$γ_{2}$	-0.0293	-4.34
$γ_{3}$	0.0203	5.31
$γ_{4}$	-0.0096	-3.96

Estimation Period:
Jan 2, 1990 to Jan 31, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts