V-Lab: Philippine Peso MF2-GARCH Volatility Analysis

V-Lab

Philippine Peso MF2-GARCH Volatility Analysis

Volatility Prediction for Tuesday, August 12th, 2025:9.07% (+8.75%)

Analysis last updated: Monday, August 11, 2025 at 07:12 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	111
$α$	1.0000	9,999,900.00
$β$	0.0024	24,320.00
$γ$	-0.0048	-48,440.00
$λ_{1}$	10.0000	100,000,000.00
$λ_{2}$	0.0000	100.00
$λ_{3}$	0.9903	9,903,010.00

Estimation Period:
Nov 6, 1991 to Aug 8, 2025

News Impact Curve

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Volatility Forecasts

Volatility Forecasts