V-Lab: Colombian Peso Spline-GARCH Volatility Analysis

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V-Lab

Colombian Peso Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, October 4th, 2023:13.79% (+0.10%)

Analysis last updated: Tuesday, October 3, 2023 at 07:17 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.5371	3.44
$α$	0.1204	9.95
$β$	0.8338	51.33
$γ_{1}$	0.0679	1.46
$γ_{2}$	-0.0702	-1.09
$γ_{3}$	-0.0976	-2.73
$γ_{4}$	0.2439	9.02
$γ_{5}$	-0.3056	-11.72
$γ_{6}$	0.3053	9.46
$γ_{7}$	-0.2048	-5.75
$γ_{8}$	0.0721	2.11
$γ_{9}$	-0.0064	-0.16

Estimation Period:
Aug 20, 1992 to Sep 29, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts