Chilean Peso EGARCH Volatility Analysis
Volatility prediction for Tuesday, July 21st, 2026
1 Day
9.15%
decreased by 0.04%
1 Week
9.30%
increased by 0.11%
1 Month
9.89%
increased by 0.70%
Analysis last updated: Monday, July 20, 2026 at 07:01 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 31, 1992 to Jul 17, 2026Model Insight
With persistence 0.992, volatility shocks have a half-life of 82 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
σ
EGARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0066 | 8.22*** |
α ARCH Response to squared shocks | 0.1212 | 27.68*** |
β GARCH Volatility persistence | 0.9915 | 1,816.00*** |
γ leverage Additional response to negative shocks | 0.0067 | 1.95* |
Persistence:
0.992
Half-life:
82 days
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