V-Lab: Argentine Peso Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Argentine Peso Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, April 24th, 2024:8.26% (+0.54%)

Analysis last updated: Tuesday, April 23, 2024 at 07:08 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3871	3.58
$α$	0.2183	8.54
$β$	0.7452	32.99
$γ_{1}$	-0.3362	-4.06
$γ_{2}$	0.5364	4.42
$γ_{3}$	-0.2888	-3.63
$γ_{4}$	0.1413	1.92
$γ_{5}$	-0.0662	-0.83
$γ_{6}$	0.1855	1.83
$γ_{7}$	-0.3068	-1.69
$γ_{8}$	-0.0067	-0.03
$γ_{9}$	0.3414	1.98
$γ_{10}$	-0.2270	-1.53

Estimation Period:
Mar 29, 2002 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts