V-Lab: Philippine Peso EGARCH Volatility Analysis

V-Lab

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V-Lab

Philippine Peso EGARCH Volatility Analysis

Volatility Prediction for Friday, April 26th, 2024:5.55% (+0.83%)

Analysis last updated: Thursday, April 25, 2024 at 07:02 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	-0.0312	-14.70
$α$	0.1422	40.31
$β$	0.9816	1119.23
$γ$	0.0040	1.25

Estimation Period:
Jan 31, 2001 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts