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 Monday, December 23rd, 2024:4.69% (-0.12%)

Analysis last updated: Friday, December 20, 2024 at 07:08 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0013	21.68
$α$	0.0670	22.07
$β$	0.9193	500.98
$γ$	-0.0004	-0.09

Estimation Period:
Jan 31, 2001 to Dec 20, 2024

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