V-Lab: Colombian Peso MF2-GARCH Volatility Analysis

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V-Lab

Colombian Peso MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, September 25th, 2023:14.44% (-10.12%)

Analysis last updated: Friday, September 22, 2023 at 07:26 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	26
$α$	1.0000	9999900.00
$β$	0.2500	2499860.00
$γ$	-0.5000	-4999530.00
$λ_{1}$	0.0009	0.04
$λ_{2}$	0.9999	22.92
$λ_{3}$	0.0001	0.00

Estimation Period:
Aug 20, 1992 to Sep 22, 2023

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Impact of return on volatility tomorrow

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Volatility Forecasts