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

V-Lab

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V-Lab

Chilean Peso Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, December 4th, 2024:11.34% (+0.31%)

Analysis last updated: Tuesday, December 3, 2024 at 07:02 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7655	6.06
$α$	0.0751	7.21
$β$	0.8785	52.75
$γ_{1}$	0.0462	1.01
$γ_{2}$	-0.0214	-0.28
$γ_{3}$	-0.1067	-2.06
$γ_{4}$	0.1716	4.37
$γ_{5}$	-0.1795	-4.59
$γ_{6}$	0.1577	5.21
$γ_{7}$	-0.0786	-3.81
$γ_{8}$	0.0086	0.42
$γ_{9}$	-0.0065	-0.45

Estimation Period:
Dec 31, 1992 to Nov 29, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts