V-Lab: Philippine Peso MF2-GARCH Volatility Analysis

V-Lab

Philippine Peso MF2-GARCH Volatility Analysis

Volatility Prediction for Wednesday, July 2nd, 2025:5.40% (-0.38%)

Analysis last updated: Tuesday, July 1, 2025 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	56
$α$	0.1360	20.88
$β$	0.7707	66.20
$γ$	-0.0483	-5.41
$λ_{1}$	0.0194	0.62
$λ_{2}$	0.6740	0.84
$λ_{3}$	0.1489	0.14

Estimation Period:
Nov 6, 1991 to Jun 27, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts