V-Lab: Philippine Peso EGARCH Volatility Analysis

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V-Lab

Philippine Peso EGARCH Volatility Analysis

Volatility Prediction for Wednesday, October 4th, 2023:4.15% (+0.20%)

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
$ω$	-0.0292	-14.15
$α$	0.1400	39.38
$β$	0.9824	1150.39
$γ$	0.0042	1.32

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts