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{name} Model Equation

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Param	Value	t-stat
ωconst	0.0013	5.60***
αARCH	0.0665	5.74***
βGARCH	0.9202	131.95***
γleverage	-0.0009	-0.04

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0013	5.60***
α ARCH Response to squared shocks	0.0665	5.74***
β GARCH Volatility persistence	0.9202	131.95***
γ leverage Additional response to negative shocks	-0.0009	-0.04

V-Lab

Philippine Peso GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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