V-Lab: Philippine Peso EGARCH Volatility Analysis

V-Lab

| |

V-Lab

Philippine Peso EGARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:5.45% (+0.62%)

Analysis last updated: Friday, April 19, 2024 at 07:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	-0.0312	-14.70
$α$	0.1422	40.31
$β$	0.9816	1119.23
$γ$	0.0040	1.25

Estimation Period:
Jan 31, 2001 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts