V-Lab
Philippine Peso Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Tuesday, September 8th, 2026
1 Day
4.23%
decreased by 0.09%
1 Week
4.31%
decreased by 0.01%
1 Month
4.53%
increased by 0.21%
Analysis last updated: Monday, September 7, 2026 at 07:10 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 31, 2001 to Sep 4, 2026Model Insight
This model fits a time-varying baseline (a spline), so volatility mean-reverts toward a slowly-shifting long-run level rather than a constant. Short-run deviations decay with a half-life of 19 trading days.
τ
Zero Slope Spline-GARCH Model
Tap to view equation
Time-varying baseline: volatility reverts to a slowly-shifting spline trend
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.7379 | 6.94*** |
| αARCH | 0.0711 | 9.29*** |
| βGARCH | 0.8939 | 82.25*** |
Spline Coefficients
K=5
| γ1 | 0.0584 | 6.67*** |
| γ2 | -0.0924 | -7.20*** |
| γ3 | 0.0523 | 5.94*** |
| γ4 | -0.0196 | -2.51** |
| γ5 | -0.0014 | -0.24 |
0.965
Persistence19d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.7379 | 6.94*** |
α ARCH Response to squared shocks | 0.0711 | 9.29*** |
β GARCH Volatility persistence | 0.8939 | 82.25*** |
Spline Coefficients
K=5
| γ1 | 0.0584 | 6.67*** |
| γ2 | -0.0924 | -7.20*** |
| γ3 | 0.0523 | 5.94*** |
| γ4 | -0.0196 | -2.51** |
| γ5 | -0.0014 | -0.24 |
Persistence:
0.965
Half-life:
19 days
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