V-Lab: Colombian Peso Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Colombian Peso Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, April 25th, 2024:10.26% (-0.23%)

Analysis last updated: Wednesday, April 24, 2024 at 07:17 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.5398	3.48
$α$	0.1197	10.01
$β$	0.8352	53.33
$γ_{1}$	0.0712	1.59
$γ_{2}$	-0.0828	-1.33
$γ_{3}$	-0.0740	-2.10
$γ_{4}$	0.2148	7.99
$γ_{5}$	-0.2794	-12.43
$γ_{6}$	0.2960	10.98
$γ_{7}$	-0.2223	-7.20
$γ_{8}$	0.1073	3.22
$γ_{9}$	-0.0696	-1.73

Estimation Period:
Aug 20, 1992 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts