Philippines Stock Exchange PSEi Index GJR-GARCH Volatility Analysis
Volatility Prediction for Friday, February 13th, 2026:16.79% (-0.51%)
Parameter Estimates
| param | t-stat | |
|---|---|---|
| 0.0471 | 22.32 | |
| 0.0594 | 10.96 | |
| 0.8815 | 160.66 | |
| 0.0764 | 10.68 |
Estimation Period:
Jan 1, 1990 to Dec 29, 2025
Jan 1, 1990 to Dec 29, 2025
News Impact Curve
Volatility Forecasts
Other GJR-GARCH Analyses on Equity Indices