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, February 5th, 2025:12.45% (-0.42%)

Analysis last updated: Tuesday, February 4, 2025 at 07:06 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.5667	3.22
$α$	0.1172	10.51
$β$	0.8491	65.39
$γ_{1}$	0.0704	1.53
$γ_{2}$	-0.0937	-1.45
$γ_{3}$	-0.0402	-1.04
$γ_{4}$	0.1642	5.23
$γ_{5}$	-0.2190	-9.87
$γ_{6}$	0.2422	10.31
$γ_{7}$	-0.1892	-7.58
$γ_{8}$	0.0790	3.12
$γ_{9}$	-0.0201	-1.09

Estimation Period:
Aug 20, 1992 to Jan 31, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts