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 Friday, September 20th, 2024:10.33% (-0.28%)

Analysis last updated: Thursday, September 19, 2024 at 07:15 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7495	6.03
$α$	0.0751	7.14
$β$	0.8775	52.13
$γ_{1}$	0.0425	0.90
$γ_{2}$	-0.0127	-0.16
$γ_{3}$	-0.1189	-2.25
$γ_{4}$	0.1864	4.70
$γ_{5}$	-0.1945	-5.08
$γ_{6}$	0.1711	5.97
$γ_{7}$	-0.0930	-4.28
$γ_{8}$	0.0338	1.33
$γ_{9}$	-0.0568	-1.57

Estimation Period:
Dec 31, 1992 to Sep 13, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts