V-Lab: Chilean Peso Zero Slope Spline-GARCH Volatility Analysis

V-Lab

Chilean Peso Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, June 2nd, 2025:9.13% (+0.11%)

Analysis last updated: Friday, May 30, 2025 at 07:04 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7800	5.76
$α$	0.0731	7.42
$β$	0.8857	57.47
$γ_{1}$	0.0520	1.19
$γ_{2}$	-0.0360	-0.49
$γ_{3}$	-0.0891	-1.78
$γ_{4}$	0.1557	4.04
$γ_{5}$	-0.1675	-4.14
$γ_{6}$	0.1528	4.48
$γ_{7}$	-0.0794	-3.66
$γ_{8}$	0.0019	0.10
$γ_{9}$	0.0070	0.50

Estimation Period:
Dec 31, 1992 to May 30, 2025

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts