V-Lab: Philippine Peso MF2-GARCH Volatility Analysis

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V-Lab

Philippine Peso MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, September 25th, 2023:4.19% (-0.02%)

Analysis last updated: Friday, September 22, 2023 at 07:33 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	56
$α$	0.1422	19.46
$β$	0.7627	64.34
$γ$	-0.0536	-5.20
$λ_{1}$	0.0183	0.60
$λ_{2}$	0.6634	0.87
$λ_{3}$	0.1715	0.17

Estimation Period:
Nov 6, 1991 to Sep 22, 2023

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts