V-Lab: Philippine Peso MF2-GARCH Volatility Analysis

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V-Lab

Philippine Peso MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, September 20th, 2024:3.01% (+1.52%)

Analysis last updated: Thursday, September 19, 2024 at 07:06 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	101
$α$	1.0000	9999900.00
$β$	0.0024	24320.00
$γ$	-0.0048	-48440.00
$λ_{1}$	10.0000	100000000.00
$λ_{2}$	0.0000	100.00
$λ_{3}$	0.9903	9903010.00

Estimation Period:
Nov 6, 1991 to Sep 13, 2024

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts