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 Friday, September 20th, 2024:4.95% (-0.12%)

Analysis last updated: Thursday, September 19, 2024 at 07:06 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0013	21.73
$α$	0.0676	22.07
$β$	0.9186	496.55
$γ$	-0.0001	-0.03

Estimation Period:
Jan 31, 2001 to Sep 13, 2024

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Volatility Forecasts