V-Lab: Argentine Peso Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Argentine Peso Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, March 19th, 2025:3.87% (-0.36%)

Analysis last updated: Tuesday, March 18, 2025 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.8206	4.20
$α$	0.2125	8.45
$β$	0.7464	33.95
$γ_{1}$	-0.1690	-2.94
$γ_{2}$	0.3029	3.52
$γ_{3}$	-0.2010	-3.39
$γ_{4}$	0.0982	1.60
$γ_{5}$	0.0871	0.91
$γ_{6}$	-0.1800	-1.17
$γ_{7}$	-0.0869	-0.55
$γ_{8}$	0.3491	2.93
$γ_{9}$	-0.4285	-2.39

Estimation Period:
Mar 29, 2002 to Mar 14, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts