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 Wednesday, March 19th, 2025:10.40% (+0.58%)

Analysis last updated: Tuesday, March 18, 2025 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.5818	3.35
$α$	0.1167	10.43
$β$	0.8487	64.60
$γ_{1}$	0.0769	1.71
$γ_{2}$	-0.1030	-1.63
$γ_{3}$	-0.0362	-0.95
$γ_{4}$	0.1631	5.17
$γ_{5}$	-0.2199	-9.96
$γ_{6}$	0.2474	10.80
$γ_{7}$	-0.2047	-8.16
$γ_{8}$	0.1127	3.69
$γ_{9}$	-0.0997	-2.17

Estimation Period:
Aug 20, 1992 to Mar 14, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts