V-Lab: Philippine Peso MF2-GARCH Volatility Analysis

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V-Lab

Philippine Peso MF2-GARCH Volatility Analysis

Volatility Prediction for Thursday, April 25th, 2024:4.38% (-0.31%)

Analysis last updated: Wednesday, April 24, 2024 at 07:03 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	56
$α$	0.1398	20.04
$β$	0.7643	65.01
$γ$	-0.0498	-5.09
$λ_{1}$	0.0190	0.61
$λ_{2}$	0.6749	0.85
$λ_{3}$	0.1521	0.14

Estimation Period:
Nov 6, 1991 to Apr 19, 2024

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