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 Monday, July 29th, 2024:12.30% (-0.16%)

Analysis last updated: Friday, July 26, 2024 at 07:19 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.5685	3.44
$α$	0.1214	10.36
$β$	0.8389	57.64
$γ_{1}$	0.0739	1.64
$γ_{2}$	-0.0908	-1.44
$γ_{3}$	-0.0591	-1.61
$γ_{4}$	0.1923	6.77
$γ_{5}$	-0.2521	-11.43
$γ_{6}$	0.2704	10.67
$γ_{7}$	-0.2026	-7.26
$γ_{8}$	0.0841	3.03
$γ_{9}$	-0.0247	-1.25

Estimation Period:
Aug 20, 1992 to Jul 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts