Philippine Peso MF2-GARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Monday, May 25th, 2026
1 Day
0.22%
decreased by 3.78%
1 Week
0.18%
decreased by 3.82%
Analysis last updated: Sunday, May 24, 2026 at 02:00 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
| param | t-stat | |
|---|---|---|
| 76 | ||
| 0.9776 | 9,776,380.00 | |
| 0.0036 | 35,710.00 | |
| 0.0376 | 375,840.00 | |
| 10.0000 | 100,000,000.00 | |
| 0.0000 | 100.00 | |
| 0.9952 | 9,952,420.00 |
Estimation Period:
Nov 6, 1991 to May 22, 2026
Nov 6, 1991 to May 22, 2026
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