South African Rand AGARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Wednesday, June 17th, 2026
1 Day
13.96%
decreased by 0.28%
1 Week
14.02%
decreased by 0.22%
1 Month
14.23%
decreased by 0.01%
Analysis last updated: Tuesday, June 16, 2026 at 08:26 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
| param | t-stat | |
|---|---|---|
| 0.0008 | 4.18 | |
| 0.0650 | 33.84 | |
| 0.9367 | 518.36 | |
| -0.1160 | -10.32 |
Estimation Period:
Jan 2, 1990 to Jun 12, 2026
Jan 2, 1990 to Jun 12, 2026
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