V-Lab: Colombian Peso GJR-GARCH Volatility Analysis

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V-Lab

Colombian Peso GJR-GARCH Volatility Analysis

Volatility Prediction for Friday, June 2nd, 2023:14.27% (+0.44%)

Analysis last updated: Thursday, June 1, 2023 at 07:16 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0013	19.11
$α$	0.0833	26.83
$β$	0.9308	685.93
$γ$	-0.0283	-6.01

Estimation Period:
Aug 20, 1992 to May 27, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts