V-Lab: Chilean Peso GJR-GARCH Volatility Analysis

V-Lab

|

V-Lab

Chilean Peso GJR-GARCH Volatility Analysis

Volatility Prediction for Friday, June 2nd, 2023:10.02% (-0.21%)

Analysis last updated: Thursday, June 1, 2023 at 07:13 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0014	14.55
$α$	0.0543	17.10
$β$	0.9508	546.74
$γ$	-0.0144	-2.93

Estimation Period:
Dec 31, 1992 to May 27, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts