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 Monday, April 29th, 2024:6.47% (-0.21%)

Analysis last updated: Friday, April 26, 2024 at 07:35 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3557	3.53
$α$	0.2163	8.48
$β$	0.7452	32.56
$γ_{1}$	-0.3139	-3.75
$γ_{2}$	0.4931	4.06
$γ_{3}$	-0.2496	-3.17
$γ_{4}$	0.1080	1.47
$γ_{5}$	-0.0373	-0.47
$γ_{6}$	0.1603	1.62
$γ_{7}$	-0.2864	-1.61
$γ_{8}$	-0.0276	-0.13
$γ_{9}$	0.3790	2.24
$γ_{10}$	-0.3225	-2.90

Estimation Period:
Mar 29, 2002 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts