V-Lab: South African Rand Spline-GARCH Volatility Analysis

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V-Lab

South African Rand Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, November 13th, 2025:8.09% (-0.24%)

Analysis last updated: Wednesday, November 12, 2025 at 07:12 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6113	7.03
$α$	0.0769	6.61
$β$	0.9001	61.83
$γ_{1}$	0.0153	3.64
$γ_{2}$	-0.0292	-4.74
$γ_{3}$	0.0232	6.04
$γ_{4}$	-0.0213	-4.26

Estimation Period:
Jan 2, 1990 to Nov 7, 2025

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