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

V-Lab

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V-Lab

South African Rand Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, September 18th, 2024:8.90% (-0.07%)

Analysis last updated: Tuesday, September 17, 2024 at 07:07 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6314	6.93
$α$	0.0716	6.55
$β$	0.9081	66.35
$γ_{1}$	0.0175	3.51
$γ_{2}$	-0.0324	-4.44
$γ_{3}$	0.0245	5.45
$γ_{4}$	-0.0192	-3.35

Estimation Period:
Jan 2, 1990 to Sep 13, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts