V-Lab: Philippine Peso GJR-GARCH Volatility Analysis

V-Lab

Philippine Peso GJR-GARCH Volatility Analysis

Volatility Prediction for Monday, July 7th, 2025:5.88% (-0.12%)

Analysis last updated: Friday, July 4, 2025 at 07:09 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0013	21.90
$α$	0.0670	22.21
$β$	0.9202	510.66
$γ$	-0.0020	-0.39

Estimation Period:
Jan 31, 2001 to Jul 4, 2025

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Volatility Forecasts

Volatility Forecasts