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 Monday, December 23rd, 2024:5.37% (-0.33%)

Analysis last updated: Friday, December 20, 2024 at 07:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.4407	3.53
$α$	0.2163	8.63
$β$	0.7505	34.15
$γ_{1}$	-0.2985	-3.74
$γ_{2}$	0.4762	4.09
$γ_{3}$	-0.2554	-3.37
$γ_{4}$	0.1182	1.67
$γ_{5}$	-0.0159	-0.20
$γ_{6}$	0.1031	1.34
$γ_{7}$	-0.2919	-3.40
$γ_{8}$	0.1047	0.77
$γ_{9}$	0.1970	1.70
$γ_{10}$	-0.1931	-2.94

Estimation Period:
Mar 29, 2002 to Dec 20, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts