V-Lab: Philippine Peso GJR-GARCH Volatility Analysis

V-Lab

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V-Lab

Philippine Peso GJR-GARCH Volatility Analysis

Volatility Prediction for Wednesday, February 5th, 2025:4.59% (+0.35%)

Analysis last updated: Tuesday, February 4, 2025 at 07:09 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0014	21.87
$α$	0.0672	22.12
$β$	0.9188	500.19
$γ$	-0.0002	-0.04

Estimation Period:
Jan 31, 2001 to Jan 31, 2025

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