V-Lab: Philippine Peso GJR-GARCH Volatility Analysis

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V-Lab

Philippine Peso GJR-GARCH Volatility Analysis

Volatility Prediction for Wednesday, January 15th, 2025:6.52% (-0.23%)

Analysis last updated: Tuesday, January 14, 2025 at 07:08 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0013	21.89
$α$	0.0669	22.09
$β$	0.9195	504.14
$γ$	-0.0004	-0.09

Estimation Period:
Jan 31, 2001 to Jan 10, 2025

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