V-Lab
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 ·

All

graph of Colombian Peso S0GARCH
paramt-stat
ω0.54943.41
α0.11919.97
β0.837953.13
γ10.06501.36
γ2-0.0619-0.93
γ3-0.1087-2.94
γ40.25338.96
γ5-0.3086-10.50
γ60.29548.26
γ7-0.1815-4.85
γ80.05241.67
γ9-0.0146-0.72
Estimation Period:
Aug 20, 1992 to May 27, 2023
Impact of return on volatility tomorrow
Volatility Forecasts