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

V-Lab

Colombian Peso Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, June 2nd, 2025:11.86% (+0.53%)

Analysis last updated: Friday, May 30, 2025 at 07:05 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.5567	2.92
$α$	0.1081	10.25
$β$	0.8615	67.47
$γ_{1}$	0.0569	0.97
$γ_{2}$	-0.0419	-0.52
$γ_{3}$	-0.1346	-3.05
$γ_{4}$	0.2685	7.20
$γ_{5}$	-0.2795	-6.11
$γ_{6}$	0.1932	4.03
$γ_{7}$	-0.0284	-0.68
$γ_{8}$	-0.0748	-2.27
$γ_{9}$	0.0446	1.53
$γ_{10}$	-0.0062	-0.29

Estimation Period:
Aug 20, 1992 to May 30, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts