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

V-Lab

| |

V-Lab

Colombian Peso Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, April 19th, 2024:13.50% (-0.70%)

Analysis last updated: Thursday, April 18, 2024 at 07:17 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.5360	3.42
$α$	0.1201	10.09
$β$	0.8362	54.23
$γ_{1}$	0.0661	1.46
$γ_{2}$	-0.0752	-1.19
$γ_{3}$	-0.0765	-2.14
$γ_{4}$	0.2129	7.82
$γ_{5}$	-0.2747	-12.09
$γ_{6}$	0.2885	10.67
$γ_{7}$	-0.2104	-7.01
$γ_{8}$	0.0879	3.03
$γ_{9}$	-0.0296	-1.47

Estimation Period:
Aug 20, 1992 to Apr 12, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts