V-Lab: Philippine Peso GJR-GARCH Volatility Analysis

V-Lab

Philippine Peso GJR-GARCH Volatility Analysis

Volatility Prediction for Friday, July 18th, 2025:4.87% (+0.12%)

Analysis last updated: Thursday, July 17, 2025 at 07:15 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0013	22.05
$α$	0.0671	22.21
$β$	0.9200	509.11
$γ$	-0.0020	-0.40

Estimation Period:
Jan 31, 2001 to Jul 11, 2025

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Volatility Forecasts

Volatility Forecasts