V-Lab: Philippine Peso GJR-GARCH Volatility Analysis

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V-Lab

Philippine Peso GJR-GARCH Volatility Analysis

Volatility Prediction for Friday, December 1st, 2023:4.02% (-0.08%)

Analysis last updated: Thursday, November 30, 2023 at 07:05 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0012	21.10
$α$	0.0659	21.45
$β$	0.9219	503.76
$γ$	-0.0012	-0.23

Estimation Period:
Jan 31, 2001 to Nov 24, 2023

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