V-Lab: Philippine Peso EGARCH Volatility Analysis

V-Lab

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V-Lab

Philippine Peso EGARCH Volatility Analysis

Volatility Prediction for Friday, September 20th, 2024:4.94% (-0.05%)

Analysis last updated: Thursday, September 19, 2024 at 07:06 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	-0.0319	-14.90
$α$	0.1437	41.13
$β$	0.9812	1111.25
$γ$	0.0034	1.08

Estimation Period:
Jan 31, 2001 to Sep 13, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts