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

V-Lab

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V-Lab

Argentine Peso Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, July 29th, 2024:5.22% (+0.05%)

Analysis last updated: Friday, July 26, 2024 at 07:13 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.6962	3.69
$α$	0.2218	8.88
$β$	0.7462	33.72
$γ_{1}$	-0.2753	-3.41
$γ_{2}$	0.4513	3.80
$γ_{3}$	-0.2515	-3.23
$γ_{4}$	0.1160	1.62
$γ_{5}$	-0.0327	-0.43
$γ_{6}$	0.1431	1.76
$γ_{7}$	-0.2947	-2.10
$γ_{8}$	0.0295	0.16
$γ_{9}$	0.2969	2.02
$γ_{10}$	-0.2563	-3.02

Estimation Period:
Mar 29, 2002 to Jul 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts