V-Lab: Argentine Peso Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Argentine Peso Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, April 19th, 2024:6.35% (-0.16%)

Analysis last updated: Thursday, April 18, 2024 at 07:08 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.5865	3.71
$α$	0.2193	8.53
$β$	0.7437	32.39
$γ_{1}$	-0.2815	-3.43
$γ_{2}$	0.4541	3.78
$γ_{3}$	-0.2397	-3.02
$γ_{4}$	0.1025	1.38
$γ_{5}$	-0.0352	-0.44
$γ_{6}$	0.1603	1.53
$γ_{7}$	-0.2795	-1.49
$γ_{8}$	-0.0468	-0.21
$γ_{9}$	0.4071	2.29
$γ_{10}$	-0.3467	-2.84

Estimation Period:
Mar 29, 2002 to Apr 12, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts