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 Friday, June 2nd, 2023:7.18% (-0.64%)

Analysis last updated: Thursday, June 1, 2023 at 07:09 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.1455	3.79
$α$	0.2123	9.34
$β$	0.7670	39.16
$γ_{1}$	-0.1496	-2.53
$γ_{2}$	0.2627	2.98
$γ_{3}$	-0.1669	-2.78
$γ_{4}$	0.0824	1.45
$γ_{5}$	0.1102	1.87
$γ_{6}$	-0.3056	-3.32
$γ_{7}$	0.1754	1.53
$γ_{8}$	0.0198	0.25

Estimation Period:
Mar 29, 2002 to May 27, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts