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 Tuesday, January 14th, 2025:7.39% (+2.59%)

Analysis last updated: Monday, January 13, 2025 at 07:01 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3458	3.55
$α$	0.2109	8.43
$β$	0.7530	34.15
$γ_{1}$	-0.3069	-3.90
$γ_{2}$	0.4874	4.25
$γ_{3}$	-0.2606	-3.50
$γ_{4}$	0.1233	1.77
$γ_{5}$	-0.0181	-0.22
$γ_{6}$	0.0984	1.24
$γ_{7}$	-0.2920	-3.80
$γ_{8}$	0.1210	0.96
$γ_{9}$	0.1775	1.61
$γ_{10}$	-0.1843	-2.89

Estimation Period:
Mar 29, 2002 to Jan 10, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts