V-Lab: Philippine Peso GJR-GARCH Volatility Analysis

V-Lab

Philippine Peso GJR-GARCH Volatility Analysis

Volatility Prediction for Wednesday, July 30th, 2025:4.94% (-0.03%)

Analysis last updated: Tuesday, July 29, 2025 at 07:09 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0013	22.08
$α$	0.0671	22.24
$β$	0.9199	509.93
$γ$	-0.0019	-0.38

Estimation Period:
Jan 31, 2001 to Jul 25, 2025

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