V-Lab: Colombian Peso Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Colombian Peso Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, June 2nd, 2023:15.23% (+1.20%)

Analysis last updated: Thursday, June 1, 2023 at 07:17 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.5494	3.41
$α$	0.1191	9.97
$β$	0.8379	53.13
$γ_{1}$	0.0650	1.36
$γ_{2}$	-0.0619	-0.93
$γ_{3}$	-0.1087	-2.94
$γ_{4}$	0.2533	8.96
$γ_{5}$	-0.3086	-10.50
$γ_{6}$	0.2954	8.26
$γ_{7}$	-0.1815	-4.85
$γ_{8}$	0.0524	1.67
$γ_{9}$	-0.0146	-0.72

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts