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 Thursday, October 5th, 2023:14.35% (+0.15%)

Analysis last updated: Wednesday, October 4, 2023 at 07:14 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7191	4.95
$α$	0.0736	7.39
$β$	0.8874	56.79
$γ_{1}$	0.0053	0.05
$γ_{2}$	0.0622	0.36
$γ_{3}$	-0.1543	-1.46
$γ_{4}$	0.0990	1.43
$γ_{5}$	0.0472	0.83
$γ_{6}$	-0.1655	-2.72
$γ_{7}$	0.2094	3.64
$γ_{8}$	-0.1406	-3.63
$γ_{9}$	0.0547	1.69
$γ_{10}$	-0.0374	-1.57

Estimation Period:
Dec 31, 1992 to Sep 29, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts