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

V-Lab

| |

V-Lab

Colombian Peso Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:12.26% (+1.53%)

Analysis last updated: Friday, April 26, 2024 at 07:19 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.5471	3.46
$α$	0.1204	10.14
$β$	0.8365	54.75
$γ_{1}$	0.0692	1.54
$γ_{2}$	-0.0806	-1.29
$γ_{3}$	-0.0716	-1.99
$γ_{4}$	0.2072	7.57
$γ_{5}$	-0.2686	-11.90
$γ_{6}$	0.2838	10.62
$γ_{7}$	-0.2082	-7.03
$γ_{8}$	0.0867	3.01
$γ_{9}$	-0.0284	-1.42

Estimation Period:
Aug 20, 1992 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts