V-Lab: Philippine Peso APARCH Volatility Analysis

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V-Lab

Philippine Peso APARCH Volatility Analysis

Volatility Prediction for Monday, September 25th, 2023:4.00% (-0.03%)

Analysis last updated: Friday, September 22, 2023 at 07:29 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0013	11.68
$α$	0.0661	31.82
$β$	0.9246	507.48
$γ$	-0.0079	-0.75
$δ$	1.9059	36.38

Estimation Period:
Jan 31, 2001 to Sep 22, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts