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

V-Lab

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V-Lab

Argentine Peso Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, April 25th, 2024:7.50% (-0.34%)

Analysis last updated: Wednesday, April 24, 2024 at 07:08 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.6176	3.53
$α$	0.2242	8.89
$β$	0.7458	33.65
$γ_{1}$	-0.3030	-3.61
$γ_{2}$	0.4839	3.92
$γ_{3}$	-0.2527	-3.08
$γ_{4}$	0.1091	1.43
$γ_{5}$	-0.0373	-0.45
$γ_{6}$	0.1618	1.55
$γ_{7}$	-0.2895	-1.55
$γ_{8}$	-0.0252	-0.11
$γ_{9}$	0.3829	2.15
$γ_{10}$	-0.3306	-2.76

Estimation Period:
Mar 29, 2002 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts