V-Lab: Chilean Peso MF2-GARCH Volatility Analysis

V-Lab

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V-Lab

Chilean Peso MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, June 25th, 2021:0.41% (-12.44%)

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	31
$α$	0.7490	7490490.00
$β$	0.0010	9510.00
$γ$	0.5000	5000000.00
$λ_{1}$	0.2271	426.90
$λ_{2}$	0.0170	230.26
$λ_{3}$	0.0000	0.00

Estimation Period:
Jan 2, 1990 to Jun 18, 2021

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts