V-Lab: Philippine Peso GJR-GARCH Volatility Analysis

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V-Lab

Philippine Peso GJR-GARCH Volatility Analysis

Volatility Prediction for Friday, June 2nd, 2023:4.61% (-0.15%)

Analysis last updated: Thursday, June 1, 2023 at 07:03 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0011	20.38
$α$	0.0639	21.10
$β$	0.9258	523.62
$γ$	-0.0022	-0.43

Estimation Period:
Jan 31, 2001 to May 27, 2023

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