V-Lab: Argentine Peso Spline-GARCH Volatility Analysis

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V-Lab

Argentine Peso Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, January 30th, 2023:8.92% (-0.78%)

Analysis last updated: Sunday, January 29, 2023, 01:45 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.8698	4.17
$α$	0.2159	8.29
$β$	0.7460	32.93
$γ_{1}$	-0.1549	-2.81
$γ_{2}$	0.2800	3.39
$γ_{3}$	-0.1885	-3.35
$γ_{4}$	0.0987	1.83
$γ_{5}$	0.0835	1.20
$γ_{6}$	-0.2096	-1.77
$γ_{7}$	-0.0350	-0.25
$γ_{8}$	0.4045	2.94

Estimation Period:
Mar 29, 2002 to Jan 28, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts