V-Lab: Philippine Peso GJR-GARCH Volatility Analysis

V-Lab

Philippine Peso GJR-GARCH Volatility Analysis

Volatility Prediction for Monday, September 1st, 2025:6.60% (-0.21%)

Analysis last updated: Friday, August 29, 2025 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0013	21.75
$α$	0.0662	22.39
$β$	0.9221	526.00
$γ$	-0.0026	-0.53

Estimation Period:
Jan 31, 2001 to Aug 29, 2025

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Volatility Forecasts

Volatility Forecasts