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

V-Lab

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V-Lab

Chilean Peso Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, April 17th, 2024:14.74% (-0.09%)

Analysis last updated: Tuesday, April 16, 2024 at 07:46 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7344	6.04
$α$	0.0773	7.17
$β$	0.8731	50.66
$γ_{1}$	0.0369	0.74
$γ_{2}$	-0.0024	-0.03
$γ_{3}$	-0.1263	-2.29
$γ_{4}$	0.1885	4.54
$γ_{5}$	-0.1895	-4.83
$γ_{6}$	0.1564	5.64
$γ_{7}$	-0.0713	-3.09
$γ_{8}$	0.0116	0.49
$γ_{9}$	-0.0182	-1.13

Estimation Period:
Dec 31, 1992 to Apr 12, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts