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 Thursday, October 5th, 2023:4.94% (-0.33%)

Analysis last updated: Wednesday, October 4, 2023 at 07:30 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.4412	2.87
$α$	0.2140	9.62
$β$	0.7679	38.41
$γ_{1}$	-0.3841	-3.65
$γ_{2}$	0.5788	3.82
$γ_{3}$	-0.2649	-2.70
$γ_{4}$	0.1074	1.16
$γ_{5}$	-0.0619	-0.57
$γ_{6}$	0.2241	1.33
$γ_{7}$	-0.3324	-1.28
$γ_{8}$	-0.0032	-0.01
$γ_{9}$	0.2819	1.70
$γ_{10}$	-0.1875	-2.11

Estimation Period:
Mar 29, 2002 to Sep 29, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts