V-Lab: Chilean Peso Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Chilean Peso Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:11.94% (-0.24%)

Analysis last updated: Friday, April 26, 2024 at 07:15 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7425	6.11
$α$	0.0777	7.18
$β$	0.8729	50.55
$γ_{1}$	0.0369	0.74
$γ_{2}$	-0.0001	-0.00
$γ_{3}$	-0.1331	-2.39
$γ_{4}$	0.1987	4.80
$γ_{5}$	-0.2015	-5.21
$γ_{6}$	0.1691	6.16
$γ_{7}$	-0.0843	-3.51
$γ_{8}$	0.0270	0.98
$γ_{9}$	-0.0464	-1.29

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts