V-Lab: Philippine Peso MF2-GARCH Volatility Analysis

V-Lab

Philippine Peso MF2-GARCH Volatility Analysis

Volatility Prediction for Thursday, April 17th, 2025:4.87% (+0.14%)

Analysis last updated: Wednesday, April 16, 2025 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	56
$α$	0.1368	20.68
$β$	0.7677	65.58
$γ$	-0.0465	-5.09
$λ_{1}$	0.0192	0.62
$λ_{2}$	0.6657	0.85
$λ_{3}$	0.1581	0.15

Estimation Period:
Nov 6, 1991 to Apr 11, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts