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

V-Lab

Argentine Peso Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 21st, 2025:59.35% (-8.60%)

Analysis last updated: Friday, April 18, 2025 at 07:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.7971	3.95
$α$	0.2077	8.37
$β$	0.7593	36.30
$γ_{1}$	-0.1609	-2.68
$γ_{2}$	0.2831	3.16
$γ_{3}$	-0.1799	-2.95
$γ_{4}$	0.0836	1.35
$γ_{5}$	0.0983	1.05
$γ_{6}$	-0.1988	-1.32
$γ_{7}$	-0.0665	-0.42
$γ_{8}$	0.3492	2.75
$γ_{9}$	-0.3092	-3.16

Estimation Period:
Mar 29, 2002 to Apr 18, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts