V-Lab: Chilean Peso Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Chilean Peso Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, April 24th, 2024:13.25% (-0.54%)

Analysis last updated: Tuesday, April 23, 2024 at 07:14 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7465	6.15
$α$	0.0778	7.19
$β$	0.8730	50.65
$γ_{1}$	0.0371	0.74
$γ_{2}$	-0.0000	-0.00
$γ_{3}$	-0.1335	-2.40
$γ_{4}$	0.1991	4.80
$γ_{5}$	-0.2019	-5.21
$γ_{6}$	0.1693	6.16
$γ_{7}$	-0.0841	-3.49
$γ_{8}$	0.0260	0.95
$γ_{9}$	-0.0428	-1.19

Estimation Period:
Dec 31, 1992 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts