V-Lab: Argentine Peso Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

Argentine Peso Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, July 29th, 2024:3.99% (+0.07%)

Analysis last updated: Friday, July 26, 2024 at 07:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.4013	3.74
$α$	0.2170	8.38
$β$	0.7409	31.41
$γ_{1}$	-0.3165	-4.04
$γ_{2}$	0.5131	4.47
$γ_{3}$	-0.2874	-3.84
$γ_{4}$	0.1447	2.10
$γ_{5}$	-0.0558	-0.75
$γ_{6}$	0.1533	1.96
$γ_{7}$	-0.2817	-2.04
$γ_{8}$	-0.0184	-0.10
$γ_{9}$	0.4044	2.50
$γ_{10}$	-0.5031	-3.44

Estimation Period:
Mar 29, 2002 to Jul 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts