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

V-Lab

Argentine Peso Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 12th, 2025:37.27% (+1.97%)

Analysis last updated: Friday, May 9, 2025 at 07:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.8051	3.97
$α$	0.2060	8.50
$β$	0.7617	37.21
$γ_{1}$	-0.1593	-2.65
$γ_{2}$	0.2805	3.13
$γ_{3}$	-0.1786	-2.91
$γ_{4}$	0.0818	1.32
$γ_{5}$	0.1062	1.15
$γ_{6}$	-0.2192	-1.47
$γ_{7}$	-0.0322	-0.20
$γ_{8}$	0.2981	2.58
$γ_{9}$	-0.2593	-3.32

Estimation Period:
Mar 29, 2002 to May 9, 2025

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts