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

V-Lab

Chilean Peso Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 12th, 2025:10.90% (-0.10%)

Analysis last updated: Friday, May 9, 2025 at 07:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7815	5.84
$α$	0.0734	7.38
$β$	0.8847	56.73
$γ_{1}$	0.0518	1.18
$γ_{2}$	-0.0346	-0.47
$γ_{3}$	-0.0912	-1.81
$γ_{4}$	0.1570	4.06
$γ_{5}$	-0.1681	-4.17
$γ_{6}$	0.1527	4.54
$γ_{7}$	-0.0790	-3.68
$γ_{8}$	0.0031	0.16
$γ_{9}$	0.0044	0.32

Estimation Period:
Dec 31, 1992 to May 9, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts