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 Friday, September 20th, 2024:6.65% (-0.02%)

Analysis last updated: Thursday, September 19, 2024 at 07:06 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.3003	7.11
$α$	0.0322	87.03
$β$	0.9982	5119.14
$ν$	3	173.48

Estimation Period:
Jan 31, 2001 to Sep 13, 2024