V-Lab: Argentine Peso MF2-GARCH Volatility Analysis

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V-Lab

Argentine Peso MF2-GARCH Volatility Analysis

Volatility Prediction for Wednesday, October 4th, 2023:6.81% (+1.47%)

Analysis last updated: Tuesday, October 3, 2023 at 07:09 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	106
$α$	0.7932	7932080.00
$β$	0.0051	50970.00
$γ$	0.4034	4033900.00
$λ_{1}$	0.1910	1910250.00
$λ_{2}$	0.0000	100.00
$λ_{3}$	0.9932	9932080.00

Estimation Period:
Jan 6, 1992 to Sep 29, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts