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

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V-Lab

Chilean Peso Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, January 30th, 2023:12.47% (-0.16%)

Analysis last updated: Sunday, January 29, 2023, 01:48 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7048	4.69
$α$	0.0759	7.09
$β$	0.8800	50.81
$γ_{1}$	-0.0033	-0.03
$γ_{2}$	0.0772	0.42
$γ_{3}$	-0.1554	-1.42
$γ_{4}$	0.0748	1.10
$γ_{5}$	0.0892	1.69
$γ_{6}$	-0.2071	-3.79
$γ_{7}$	0.2349	4.91
$γ_{8}$	-0.1517	-4.32
$γ_{9}$	0.0710	2.10
$γ_{10}$	-0.0575	-2.34

Estimation Period:
Dec 31, 1992 to Jan 28, 2023

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