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 Monday, April 29th, 2024:6.85% (-0.20%)

Analysis last updated: Friday, April 26, 2024 at 07:33 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3942	3.59
$α$	0.2182	8.53
$β$	0.7450	32.93
$γ_{1}$	-0.3341	-4.06
$γ_{2}$	0.5340	4.42
$γ_{3}$	-0.2888	-3.65
$γ_{4}$	0.1418	1.93
$γ_{5}$	-0.0652	-0.82
$γ_{6}$	0.1820	1.84
$γ_{7}$	-0.3034	-1.70
$γ_{8}$	-0.0104	-0.05
$γ_{9}$	0.3538	2.06
$γ_{10}$	-0.2713	-1.86

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts