V-Lab: Philippine Peso AGARCH Volatility Analysis

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V-Lab

Philippine Peso AGARCH Volatility Analysis

Volatility Prediction for Wednesday, October 4th, 2023:6.71% (+3.06%)

Analysis last updated: Tuesday, October 3, 2023 at 07:03 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0012	20.95
$α$	0.0649	39.44
$β$	0.9229	513.02
$γ$	0.0013	0.26

Estimation Period:
Jan 31, 2001 to Sep 29, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts