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 Monday, January 30th, 2023:11.38% (-0.31%)

Analysis last updated: Sunday, January 29, 2023, 01:48 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6600	6.86
$α$	0.0742	6.29
$β$	0.9062	63.37
$γ_{1}$	0.0207	3.57
$γ_{2}$	-0.0369	-4.35
$γ_{3}$	0.0243	5.15
$γ_{4}$	-0.0113	-3.90

Estimation Period:
Jan 2, 1990 to Jan 28, 2023

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts