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

V-Lab

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V-Lab

Colombian Peso Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, April 26th, 2024:10.74% (-0.32%)

Analysis last updated: Thursday, April 25, 2024 at 07:18 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.5475	3.47
$α$	0.1204	10.14
$β$	0.8366	54.76
$γ_{1}$	0.0681	1.51
$γ_{2}$	-0.0779	-1.24
$γ_{3}$	-0.0751	-2.10
$γ_{4}$	0.2111	7.74
$γ_{5}$	-0.2724	-12.04
$γ_{6}$	0.2870	10.68
$γ_{7}$	-0.2105	-7.06
$γ_{8}$	0.0886	3.07
$γ_{9}$	-0.0299	-1.49

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts