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, July 29th, 2024:5.34% (+0.14%)

Analysis last updated: Friday, July 26, 2024 at 07:07 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.2918	6.99
$α$	0.0320	86.38
$β$	0.9982	4845.56
$ν$	3	171.96

Estimation Period:
Jan 31, 2001 to Jul 26, 2024