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 Friday, July 4th, 2025:10.77% (-0.29%)

Analysis last updated: Thursday, July 3, 2025 at 07:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6166	6.64
$α$	0.0761	6.84
$β$	0.9033	65.15
$γ_{1}$	0.0149	3.29
$γ_{2}$	-0.0277	-4.23
$γ_{3}$	0.0191	5.16
$γ_{4}$	-0.0088	-3.76

Estimation Period:
Jan 2, 1990 to Jun 27, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts