V-Lab: Philippine Peso GJR-GARCH Volatility Analysis

V-Lab

|

V-Lab

Philippine Peso GJR-GARCH Volatility Analysis

Volatility Prediction for Monday, January 30th, 2023:5.02% (-0.17%)

Analysis last updated: Friday, January 27, 2023, 07:07 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0012	20.73
$α$	0.0650	21.16
$β$	0.9240	517.06
$γ$	-0.0020	-0.39

Estimation Period:
Jan 31, 2001 to Jan 27, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts