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 Monday, June 2nd, 2025:10.30% (+0.22%)

Analysis last updated: Friday, May 30, 2025 at 07:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6176	6.68
$α$	0.0763	6.83
$β$	0.9029	64.77
$γ_{1}$	0.0151	3.33
$γ_{2}$	-0.0280	-4.26
$γ_{3}$	0.0193	5.20
$γ_{4}$	-0.0089	-3.79

Estimation Period:
Jan 2, 1990 to May 30, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts