V-Lab: Chilean Peso Spline-GARCH Volatility Analysis

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V-Lab

Chilean Peso Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, October 4th, 2023:13.40% (+1.96%)

Analysis last updated: Tuesday, October 3, 2023 at 07:14 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6695	4.67
$α$	0.0741	7.38
$β$	0.8866	55.93
$γ_{1}$	-0.0150	-0.14
$γ_{2}$	0.0933	0.55
$γ_{3}$	-0.1717	-1.61
$γ_{4}$	0.1079	1.55
$γ_{5}$	0.0466	0.82
$γ_{6}$	-0.1719	-2.89
$γ_{7}$	0.2210	3.95
$γ_{8}$	-0.1570	-4.04
$γ_{9}$	0.0797	2.14
$γ_{10}$	-0.0882	-1.80

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts