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

V-Lab

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V-Lab

Philippine Peso Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, October 28th, 2024:5.40% (+0.65%)

Analysis last updated: Friday, October 25, 2024 at 07:09 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.8896	6.83
$α$	0.0726	9.02
$β$	0.8938	80.65
$γ_{1}$	0.0744	6.76
$γ_{2}$	-0.1132	-6.83
$γ_{3}$	0.0548	4.65
$γ_{4}$	-0.0138	-1.26
$γ_{5}$	-0.0062	-0.77

Estimation Period:
Jan 31, 2001 to Oct 25, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts