V-Lab: Philippine Peso MF2-GARCH Volatility Analysis

V-Lab

Philippine Peso MF2-GARCH Volatility Analysis

Volatility Prediction for Wednesday, July 30th, 2025:5.29% (-0.04%)

Analysis last updated: Tuesday, July 29, 2025 at 07:09 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	56
$α$	0.1365	20.89
$β$	0.7694	65.87
$γ$	-0.0487	-5.44
$λ_{1}$	0.0193	0.62
$λ_{2}$	0.6729	0.84
$λ_{3}$	0.1502	0.14

Estimation Period:
Nov 6, 1991 to Jul 25, 2025

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts