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 Friday, November 21st, 2025:7.27% (-0.14%)

Analysis last updated: Thursday, November 20, 2025 at 12:35 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6113	7.03
$α$	0.0769	6.60
$β$	0.9001	61.80
$γ_{1}$	0.0153	3.64
$γ_{2}$	-0.0292	-4.74
$γ_{3}$	0.0233	6.06
$γ_{4}$	-0.0216	-4.33

Estimation Period:
Jan 2, 1990 to Nov 14, 2025

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