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 Monday, April 29th, 2024:12.59% (-0.24%)

Analysis last updated: Friday, April 26, 2024 at 07:16 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7297	6.01
$α$	0.0772	7.17
$β$	0.8731	50.62
$γ_{1}$	0.0355	0.72
$γ_{2}$	-0.0006	-0.01
$γ_{3}$	-0.1268	-2.31
$γ_{4}$	0.1885	4.55
$γ_{5}$	-0.1895	-4.84
$γ_{6}$	0.1568	5.64
$γ_{7}$	-0.0718	-3.14
$γ_{8}$	0.0115	0.50
$γ_{9}$	-0.0177	-1.11

Estimation Period:
Dec 31, 1992 to Apr 26, 2024

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Impact of return on volatility tomorrow

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Volatility Forecasts