V-Lab: Philippine Peso MF2-GARCH Volatility Analysis

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V-Lab

Philippine Peso MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, January 30th, 2023:4.83% (-0.25%)

Analysis last updated: Friday, January 27, 2023, 07:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	56
$α$	0.1398	19.47
$β$	0.7663	65.34
$γ$	-0.0506	-4.94
$λ_{1}$	0.0186	0.60
$λ_{2}$	0.6698	0.86
$λ_{3}$	0.1620	0.15

Estimation Period:
Nov 6, 1991 to Jan 27, 2023

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