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{name} Model Equation

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Param	Value	t-stat
ωconst	-0.0332	-3.97***
αARCH	0.1433	10.74***
βGARCH	0.9808	283.30***
γleverage	0.0042	0.35

Parameter	Value	t-statistic
ω const Unconditional variance weight	-0.0332	-3.97***
α ARCH Response to squared shocks	0.1433	10.74***
β GARCH Volatility persistence	0.9808	283.30***
γ leverage Additional response to negative shocks	0.0042	0.35

V-Lab

Philippine Peso EGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Philippine Peso Analyses