Zuma and the Guptas have denied all accusations of wrongdoing.
Zuma said the chief justice had chosen who would head the inquiry.
DA leader Mmusi Maimane has cautiously welcomed President Jacob Zuma's decision to appoint a judicial commission of inquiry to investigate allegations of state capture. Zuma lost that application but said he intends appealing.
Zuma, who previously slammed the Public Protector's report on state capture calling it was a political tool meant to be used to deal with "certain individuals", said he made the decision after the investigation and remedial action of the Public Protector and the order by the North Gauteng High Court in December past year.
But on Tuesday Mr Zuma said: "Any further delay will make the public doubt government's determination to dismantle all forms of corruption, and entrench the public perception that the state has been captured by private interests for nefarious and self-enrichment purposes".
ARGENTINA: Monthly Consumer Price Index Accelerates To 3.1% In December
Core inflation , while not the Federal Reserve's preferred inflation measure is still well below the central bank's target of 2%. Excluding food and energy prices, core producer prices still dipped by 0.1% in December following a 0.3% increase in November.
Zuma's announcement comes the day before parliament is to take up a draft of a process for removing the nation's president from office. On Tuesday evening, a few hours before the ANC's new national executive committee was due to discuss his possible recall, Zuma announced the establishment of the Zondo Commission.
She said the commission's objective was to complete her report, and it should deal first with details that had arisen in it. It would be an affront to the people of South Africa for those found to be in violation of the country's guiding principles and laws to be provided with a "deal" or "a way out", simply because of who they are.
"The ANCWL is confident that the Commission of Inquiry will not be influenced by any prior judgements passed through courts of public opinions which were instituted by neoliberal media houses", Matuba said in a statement.
Mr Zuma has survived two previous attempts to fire him at the NEC since the public protector's initial report into the allegations of state capture by the Guptas.
Ramaphosa is set to distance himself from Zuma as the ANC seeks to retain its absolute majority in next year's general elections even if the latter still retains a constituency of support within the movement after 10 years as its leader.