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 Wednesday, September 18th, 2024:5.07% (+0.01%)

Analysis last updated: Tuesday, September 17, 2024 at 07:08 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.4956	3.59
$α$	0.2194	8.74
$β$	0.7466	33.41
$γ_{1}$	-0.2971	-3.68
$γ_{2}$	0.4772	4.04
$γ_{3}$	-0.2584	-3.35
$γ_{4}$	0.1207	1.70
$γ_{5}$	-0.0301	-0.39
$γ_{6}$	0.1316	1.74
$γ_{7}$	-0.2957	-2.48
$γ_{8}$	0.0566	0.33
$γ_{9}$	0.2632	1.94
$γ_{10}$	-0.2363	-3.05

Estimation Period:
Mar 29, 2002 to Sep 13, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts