V-Lab: Chilean Peso Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

Chilean Peso Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, January 14th, 2025:8.30% (-0.22%)

Analysis last updated: Monday, January 13, 2025 at 07:02 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7629	5.97
$α$	0.0733	7.15
$β$	0.8813	53.70
$γ_{1}$	0.0481	1.06
$γ_{2}$	-0.0245	-0.32
$γ_{3}$	-0.1065	-2.09
$γ_{4}$	0.1755	4.56
$γ_{5}$	-0.1870	-4.89
$γ_{6}$	0.1700	5.67
$γ_{7}$	-0.0985	-4.69
$γ_{8}$	0.0415	1.74
$γ_{9}$	-0.0829	-2.41

Estimation Period:
Dec 31, 1992 to Jan 10, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts