V-Lab: Colombian Peso Spline-GARCH Volatility Analysis

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V-Lab

Colombian Peso Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, January 30th, 2023:19.37% (+2.23%)

Analysis last updated: Friday, January 27, 2023, 07:19 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.5600	3.26
$α$	0.1165	9.97
$β$	0.8443	55.86
$γ_{1}$	0.0644	1.26
$γ_{2}$	-0.0561	-0.80
$γ_{3}$	-0.1238	-3.21
$γ_{4}$	0.2724	9.03
$γ_{5}$	-0.3196	-9.51
$γ_{6}$	0.2845	7.14
$γ_{7}$	-0.1467	-3.62
$γ_{8}$	0.0062	0.18
$γ_{9}$	0.0502	1.12

Estimation Period:
Aug 20, 1992 to Jan 27, 2023

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