V-Lab: Philippine Peso GJR-GARCH Volatility Analysis

V-Lab

Philippine Peso GJR-GARCH Volatility Analysis

Volatility Prediction for Monday, September 15th, 2025:5.20% (-0.18%)

Analysis last updated: Sunday, September 14, 2025 at 01:32 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0013	21.92
$α$	0.0663	22.39
$β$	0.9219	524.68
$γ$	-0.0027	-0.53

Estimation Period:
Jan 31, 2001 to Sep 12, 2025

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Volatility Forecasts

Volatility Forecasts