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, January 30th, 2023:7.71% (-0.28%)

Analysis last updated: Friday, January 27, 2023, 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.3577	8.19
$α$	0.0316	84.83
$β$	0.9985	7288.38
$ν$	3	225.86

Estimation Period:
Jan 31, 2001 to Jan 27, 2023