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

V-Lab

|

V-Lab

Chilean Peso Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, June 25th, 2021:12.13% (-0.62%)

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.5259	1.86
$α$	0.1172	6.93
$β$	0.8333	33.49
$γ_{1}$	-0.1797	-0.66
$γ_{2}$	0.3326	0.86
$γ_{3}$	-0.2101	-1.26
$γ_{4}$	-0.0062	-0.08
$γ_{5}$	0.1779	2.95
$γ_{6}$	-0.2416	-3.55
$γ_{7}$	0.2101	3.10
$γ_{8}$	-0.0891	-1.72
$γ_{9}$	-0.0125	-0.34

Estimation Period:
Dec 31, 1992 to Jun 18, 2021

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts