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 Wednesday, October 22nd, 2025:8.71% (+0.29%)

Analysis last updated: Tuesday, October 21, 2025 at 07:12 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6120	7.04
$α$	0.0770	6.61
$β$	0.9000	61.76
$γ_{1}$	0.0154	3.65
$γ_{2}$	-0.0293	-4.74
$γ_{3}$	0.0233	6.01
$γ_{4}$	-0.0210	-4.12

Estimation Period:
Jan 2, 1990 to Oct 18, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts