V-Lab: Philippine Peso AGARCH Volatility Analysis

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V-Lab

Philippine Peso AGARCH Volatility Analysis

Volatility Prediction for Monday, January 30th, 2023:5.04% (-0.16%)

Analysis last updated: Friday, January 27, 2023, 07:08 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0012	20.93
$α$	0.0648	39.00
$β$	0.9232	514.60
$γ$	0.0034	0.67

Estimation Period:
Jan 31, 2001 to Jan 27, 2023

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