V-Lab: Philippine Peso AGARCH Volatility Analysis

V-Lab

Philippine Peso AGARCH Volatility Analysis

Volatility Prediction for Friday, July 18th, 2025:7.11% (+2.37%)

Analysis last updated: Thursday, July 17, 2025 at 07:15 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0014	21.84
$α$	0.0668	41.55
$β$	0.9193	506.50
$γ$	0.0019	0.39

Estimation Period:
Jan 31, 2001 to Jul 11, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts