V-Lab: Chilean Peso Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Chilean Peso Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, July 29th, 2024:11.49% (-0.37%)

Analysis last updated: Friday, July 26, 2024 at 07:15 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7526	6.13
$α$	0.0758	7.15
$β$	0.8761	51.65
$γ_{1}$	0.0415	0.86
$γ_{2}$	-0.0093	-0.12
$γ_{3}$	-0.1239	-2.30
$γ_{4}$	0.1911	4.74
$γ_{5}$	-0.1975	-5.14
$γ_{6}$	0.1709	6.08
$γ_{7}$	-0.0899	-4.02
$γ_{8}$	0.0302	1.15
$γ_{9}$	-0.0476	-1.28

Estimation Period:
Dec 31, 1992 to Jul 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts