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

V-Lab

|

V-Lab

Colombian Peso Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, January 30th, 2023:17.97% (-0.42%)

Analysis last updated: Sunday, January 29, 2023, 01:46 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.5632	3.22
$α$	0.1181	10.08
$β$	0.8440	56.43
$γ_{1}$	0.0619	1.20
$γ_{2}$	-0.0523	-0.73
$γ_{3}$	-0.1240	-3.17
$γ_{4}$	0.2677	8.80
$γ_{5}$	-0.3119	-9.19
$γ_{6}$	0.2781	6.93
$γ_{7}$	-0.1457	-3.63
$γ_{8}$	0.0175	0.54
$γ_{9}$	0.0035	0.17

Estimation Period:
Aug 20, 1992 to Jan 28, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts