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 Friday, June 25th, 2021:13.57% (-0.56%)

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.5115	1.86
$α$	0.1184	6.88
$β$	0.8302	32.41
$γ_{1}$	-0.1901	-0.71
$γ_{2}$	0.3481	0.91
$γ_{3}$	-0.2164	-1.31
$γ_{4}$	-0.0073	-0.09
$γ_{5}$	0.1848	3.12
$γ_{6}$	-0.2542	-3.84
$γ_{7}$	0.2356	3.52
$γ_{8}$	-0.1460	-2.50
$γ_{9}$	0.1261	1.50

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts