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

V-Lab

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V-Lab

Colombian Peso Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, January 15th, 2025:11.11% (+0.93%)

Analysis last updated: Tuesday, January 14, 2025 at 07:03 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.5880	3.22
$α$	0.1190	10.67
$β$	0.8491	66.22
$γ_{1}$	0.0718	1.54
$γ_{2}$	-0.0938	-1.44
$γ_{3}$	-0.0440	-1.12
$γ_{4}$	0.1694	5.36
$γ_{5}$	-0.2244	-9.97
$γ_{6}$	0.2465	10.16
$γ_{7}$	-0.1917	-7.39
$γ_{8}$	0.0804	3.06
$γ_{9}$	-0.0212	-1.10

Estimation Period:
Aug 20, 1992 to Jan 10, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts