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

V-Lab

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V-Lab

Chilean Peso Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, April 24th, 2024:13.83% (-0.52%)

Analysis last updated: Tuesday, April 23, 2024 at 07:14 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7293	6.00
$α$	0.0773	7.17
$β$	0.8731	50.63
$γ_{1}$	0.0354	0.72
$γ_{2}$	-0.0003	-0.00
$γ_{3}$	-0.1270	-2.31
$γ_{4}$	0.1887	4.55
$γ_{5}$	-0.1897	-4.84
$γ_{6}$	0.1571	5.65
$γ_{7}$	-0.0722	-3.16
$γ_{8}$	0.0123	0.53
$γ_{9}$	-0.0186	-1.16

Estimation Period:
Dec 31, 1992 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts