V-Lab: Philippine Peso GAS-GARCH Student T Volatility Analysis

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V-Lab

Philippine Peso GAS-GARCH Student T Volatility Analysis

Volatility Prediction for Monday, December 23rd, 2024:6.54% (-0.07%)

Analysis last updated: Friday, December 20, 2024 at 07:09 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.2889	6.97
$α$	0.0319	87.02
$β$	0.9982	4845.57
$ν$	3	167.10

Estimation Period:
Jan 31, 2001 to Dec 20, 2024