V-Lab: Argentine Peso MF2-GARCH Volatility Analysis

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V-Lab

Argentine Peso MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, January 30th, 2023:0.51% (-2.32%)

Analysis last updated: Friday, January 27, 2023, 07:13 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	116
$α$	0.7666	7666420.00
$β$	0.0020	19630.00
$γ$	0.4628	4627910.00
$λ_{1}$	0.1088	1088270.00
$λ_{2}$	0.0000	120.00
$λ_{3}$	0.9932	9932060.00

Estimation Period:
Jan 6, 1992 to Jan 27, 2023

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Impact of return on volatility tomorrow

Volatility Forecasts

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