V-Lab: Colombian Peso Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Colombian Peso Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:11.41% (+1.66%)

Analysis last updated: Friday, April 26, 2024 at 07:18 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.5411	3.48
$α$	0.1198	10.03
$β$	0.8356	53.68
$γ_{1}$	0.0710	1.58
$γ_{2}$	-0.0827	-1.33
$γ_{3}$	-0.0734	-2.08
$γ_{4}$	0.2137	7.92
$γ_{5}$	-0.2782	-12.42
$γ_{6}$	0.2953	11.01
$γ_{7}$	-0.2227	-7.25
$γ_{8}$	0.1086	3.25
$γ_{9}$	-0.0726	-1.79

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts