V-Lab: Colombian Peso Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Colombian Peso Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, July 29th, 2024:11.18% (-0.17%)

Analysis last updated: Friday, July 26, 2024 at 07:18 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.5470	3.48
$α$	0.1198	10.11
$β$	0.8368	55.08
$γ_{1}$	0.0727	1.64
$γ_{2}$	-0.0887	-1.44
$γ_{3}$	-0.0625	-1.76
$γ_{4}$	0.1991	7.22
$γ_{5}$	-0.2626	-12.20
$γ_{6}$	0.2845	11.41
$γ_{7}$	-0.2220	-7.76
$γ_{8}$	0.1154	3.51
$γ_{9}$	-0.0897	-2.11

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts