V-Lab: Philippine Peso EGARCH Volatility Analysis

V-Lab

Philippine Peso EGARCH Volatility Analysis

Volatility Prediction for Monday, July 7th, 2025:5.12% (-0.28%)

Analysis last updated: Sunday, July 6, 2025 at 01:19 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	-0.0321	-15.18
$α$	0.1413	41.45
$β$	0.9813	1,121.47
$γ$	0.0045	1.46

Estimation Period:
Jan 31, 2001 to Jul 4, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts