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, December 23rd, 2024:13.10% (-0.67%)

Analysis last updated: Friday, December 20, 2024 at 07:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.5693	3.30
$α$	0.1197	10.49
$β$	0.8445	62.17
$γ_{1}$	0.0724	1.58
$γ_{2}$	-0.0941	-1.47
$γ_{3}$	-0.0448	-1.17
$γ_{4}$	0.1707	5.61
$γ_{5}$	-0.2268	-10.36
$γ_{6}$	0.2497	10.58
$γ_{7}$	-0.1943	-7.67
$γ_{8}$	0.0831	3.23
$γ_{9}$	-0.0237	-1.27

Estimation Period:
Aug 20, 1992 to Dec 20, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts