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 Friday, September 20th, 2024:14.29% (-0.15%)

Analysis last updated: Thursday, September 19, 2024 at 07:18 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.5642	3.47
$α$	0.1190	10.27
$β$	0.8409	58.44
$γ_{1}$	0.0734	1.65
$γ_{2}$	-0.0916	-1.47
$γ_{3}$	-0.0545	-1.49
$γ_{4}$	0.1851	6.45
$γ_{5}$	-0.2445	-11.33
$γ_{6}$	0.2658	11.00
$γ_{7}$	-0.2034	-7.71
$γ_{8}$	0.0876	3.29
$γ_{9}$	-0.0268	-1.39

Estimation Period:
Aug 20, 1992 to Sep 13, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts