V-Lab: Philippine Peso GJR-GARCH Volatility Analysis

V-Lab

Philippine Peso GJR-GARCH Volatility Analysis

Volatility Prediction for Friday, April 25th, 2025:3.99% (-0.11%)

Analysis last updated: Thursday, April 24, 2025 at 07:08 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0013	22.02
$α$	0.0665	22.10
$β$	0.9197	505.89
$γ$	-0.0003	-0.06

Estimation Period:
Jan 31, 2001 to Apr 18, 2025

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