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

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V-Lab

Argentine Peso Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, January 30th, 2023:8.24% (-0.98%)

Analysis last updated: Friday, January 27, 2023, 07:12 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.1378	3.81
$α$	0.2165	9.15
$β$	0.7607	37.60
$γ_{1}$	-0.1571	-2.63
$γ_{2}$	0.2771	3.10
$γ_{3}$	-0.1767	-2.89
$γ_{4}$	0.0800	1.37
$γ_{5}$	0.1192	1.65
$γ_{6}$	-0.2803	-2.40
$γ_{7}$	0.0991	0.76
$γ_{8}$	0.0887	1.08

Estimation Period:
Mar 29, 2002 to Jan 27, 2023

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Volatility Forecasts

Volatility Forecasts