V-Lab: Philippine Peso Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Philippine Peso Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, June 2nd, 2023:4.60% (-0.15%)

Analysis last updated: Thursday, June 1, 2023 at 07:03 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.6037	6.36
$α$	0.0675	8.62
$β$	0.9042	86.18
$γ_{1}$	0.0419	5.49
$γ_{2}$	-0.0689	-6.27
$γ_{3}$	0.0458	6.12
$γ_{4}$	-0.0252	-4.81

Estimation Period:
Jan 31, 2001 to May 27, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts