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

V-Lab

|

V-Lab

Chilean Peso Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, June 2nd, 2023:11.77% (-0.23%)

Analysis last updated: Thursday, June 1, 2023 at 07:14 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7076	4.79
$α$	0.0740	7.23
$β$	0.8851	54.32
$γ_{1}$	0.0008	0.01
$γ_{2}$	0.0699	0.39
$γ_{3}$	-0.1550	-1.43
$γ_{4}$	0.0865	1.26
$γ_{5}$	0.0698	1.27
$γ_{6}$	-0.1886	-3.27
$γ_{7}$	0.2247	4.30
$γ_{8}$	-0.1496	-4.11
$γ_{9}$	0.0683	2.05
$γ_{10}$	-0.0532	-2.15

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts